# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027893
**Filing Date:** 2025-11
**Character Count:** 318264
**Document Hash:** 50a4ebbeb8d386e09d304289afb52fcd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027893.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027893

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 251505263

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

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

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

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

## Series and Classes Contracts Data

### Goldman Sachs Short Duration Bond Fund (Series ID: S000036259)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000110983 | Class A         | GDIAX           |
| C000110984 | Class C         | GDICX           |
| C000110985 | Institutional   | GDFIX           |
| C000110986 | Investor Shares | GSSRX           |
| C000110987 | Class R         | GIFRX           |
| C000161296 | Class R6 Shares | GDIUX           |
| C000202046 | Class P Shares  | GMCPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4400

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

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

- **b. EDGAR series identifier (if any):** S000036259

- **c. LEI of Series:** 5K6BNCLRUJN03ZJ21072

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1432668202.16

**Total Liabilities:** $118717540.51

**Net Assets:** $1313950661.65

**Delayed Delivery Securities:** $27091822.99

**Cash Not Reported:** $33585205.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -5121.30000000 | **1-Year:** -68719.26000000 | **5-Year:** -87887.91000000 | **10-Year:** -13473.91000000 | **30-Year:** -2199.39000000

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

- **3-Month:** -980.64000000 | **1-Year:** -30934.25000000 | **5-Year:** -90918.21000000 | **10-Year:** -6109.53000000 | **30-Year:** -13056.93000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000110984 | -0.01%               | 0.92%                | 0.30%                |
| Class ID C000202046 | 0.05%                | 0.98%                | 0.46%                |
| Class ID C000161296 | 0.05%                | 0.98%                | 0.46%                |
| Class ID C000110987 | 0.01%                | 0.93%                | 0.41%                |
| Class ID C000110985 | 0.05%                | 0.98%                | 0.35%                |
| Class ID C000110986 | 0.15%                | 0.87%                | 0.45%                |
| Class ID C000110983 | 0.03%                | 0.95%                | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $257004.91               | $-2755003.14                               |
| Month 2  | $245757.50               | $5340057.79                                |
| Month 3  | $482705.97               | $660232.04                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD BRL                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2063.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-3799.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CLP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |          1 | NC      | $4326.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD TWD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $663.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-34040.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED ZAR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $4963.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                            | Skyworks Solutions Inc                                                                                     | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    2425000 | PA      | $2384429.75   | 0.18%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                          | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2600000 | PA      | $2647710.00   | 0.20%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    4800000 | OU      | $-62934.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED COP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $2123.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EBAY INC                                          | eBay Inc                                                                                                   | CUSIP: 27864AXG5<br>LEI: OML71K8X303XQONU6T67 | Long             | STIV             | CORP              | US        |    6964000 | PA      | $6950711.99   | 0.53%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $18298.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-574.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU DEC26                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        109 | NC      | $-47422.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1013.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5826.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $7037.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD BRL                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-35568.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM13 Trust                                                                                       | CUSIP: 67121UAF3<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |    1995484 | PA      | $2015403.56   | 0.15%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236715  IRS EUR R F  3.30000 2 CCPVANILLA / Short: SR236715  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27710000 | OU      | $-32702.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED PLN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |          1 | NC      | $-1452.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR228525  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR228525  IRS JPY P F  1.29500 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1901885553 | OU      | $216337.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3250000 | PA      | $3387876.57   | 0.26%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597261 | PA      | $590459.25    | 0.04%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR248757  IRS EUR R F  2.50000 2 CCPOIS / Short: SR248757  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   13470000 | OU      | $71310.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22860000 | OU      | $-185504.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-94242.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunac Services Holdings Ltd                       | Sunac Services Holdings Ltd                                                                                | CUSIP: 000000000<br>LEI: 549300K4OFRSVPWF2W77 | Long             | EC               | CORP              | KY        |      22377 | NS      | $4716.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                                                        | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2500000 | PA      | $2543775.00   | 0.19%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     762035 | PA      | $788960.67    | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                          | Teledyne Technologies Inc                                                                                  | CUSIP: 879360AC9<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |    9375000 | PA      | $9246281.25   | 0.70%             | 2026-04-01      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6796.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38378WUZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186234 | PA      | $20640.41     | 0.00%             | 2043-08-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                                                        | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1690655.25   | 0.13%             | 2026-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236074  IRS USD R F  4.57424 2 CCPOIS / Short: SR236074  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   58900000 | OU      | $223926.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                             | Campbell's Company/The                                                                                     | CUSIP: 134429BM0<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3756610.00   | 0.29%             | 2027-03-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2024-INV4 Trust                                                                                       | CUSIP: 367919AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2128126 | PA      | $2140151.52   | 0.16%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243225  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243225  IRS JPY P F  1.00000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 1547000000 | OU      | $5609.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                     | JDE Peet's NV                                                                                              | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    4230000 | PA      | $3667029.30   | 0.28%             | 2031-09-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5163000 | PA      | $5250306.33   | 0.40%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $31658.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6937840.00   | 0.53%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243255  IRS SEK R F  2.75000 2 CCPVANILLA / Short: SR243255  IRS SEK P V 03MSTIBO 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   35610000 | OU      | $-622.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-3831.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                    | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $6004500.00   | 0.46%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust      | American Express Credit Account Master Trust                                                               | CUSIP: 02589BAE0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4562344.94   | 0.35%             | 2029-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25766.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo VII DAC                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |    2150000 | PA      | $2524208.92   | 0.19%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4171.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR234635  IRS USD R F  4.09811 2 CCPOIS / Short: SR234635  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   44020000 | OU      | $268227.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-INV2                                                                       | CUSIP: 92540BAB5<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-MBS          | CORP              | US        |    1383845 | PA      | $1397441.31   | 0.11%             | 2068-08-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $646.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                           | Jefferies Financial Group Inc                                                                              | CUSIP: 47233WKM0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    4739000 | PA      | $4747340.64   | 0.36%             | 2026-08-11      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2022-3 Ltd                                                                      | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5025000 | PA      | $5032472.18   | 0.38%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                | Discover Card Execution Note Trust                                                                         | CUSIP: 254683CY9<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |    3800000 | PA      | $3804137.14   | 0.29%             | 2028-03-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR7                                                                                            | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2350000 | PA      | $2451790.56   | 0.19%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-5609.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                                                        | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   10660000 | PA      | $10781417.40  | 0.82%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ILS                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-16529.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-20758.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                                                                    | CUSIP: 3130B77D0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    5955000 | PA      | $5948180.45   | 0.45%             | 2026-08-14      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7450 | PA      | $8001.60      | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS08414A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |    4910000 | NC      | $15787.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                       | CUSIP: 693475BF1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1636854.80   | 0.12%             | 2027-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED SEK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-15000.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                              | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4952600.00   | 0.38%             | 2026-02-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust               | Toyota Auto Receivables 2024-C Owner Trust                                                                 | CUSIP: 89237QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4225000 | PA      | $4272797.64   | 0.33%             | 2029-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                                                     | CUSIP: 715638DE9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2120000 | PA      | $2104630.00   | 0.16%             | 2026-01-23      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                       | RAD CLO 21 Ltd                                                                                             | CUSIP: 750099AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3490000 | PA      | $3493374.83   | 0.27%             | 2037-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1176.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10321.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $131286.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 3                                                                                           | CUSIP: 72132UBA0<br>LEI: 254900Y8O8REGL3BZS62 | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4008200.00   | 0.31%             | 2034-10-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-9273.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243158  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR243158  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    2490000 | OU      | $-194492.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1867719.00   | 0.14%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                              | CUSIP: 097023BP9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5390928.00   | 0.41%             | 2025-10-30      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                           | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3703097.00   | 0.28%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-11161.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                      | Entergy Corp                                                                                               | CUSIP: 29366EZ90<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | STIV             | CORP              | US        |    5152000 | PA      | $5109357.41   | 0.39%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                          | OCP SA                                                                                                     | CUSIP: 67091TAH8<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    1530000 | PA      | $1602675.00   | 0.12%             | 2030-04-30      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-19500.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                     | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1500000 | PA      | $1463445.00   | 0.11%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2025-DSC1                                                                  | CUSIP: 46593TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980493 | PA      | $3020644.05   | 0.23%             | 2065-09-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     680000 | PA      | $707779.56    | 0.05%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $19129.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATL BANK OF KUWAIT NY                            | National Bank of Kuwait/New York NY                                                                        | CUSIP: 63376F2G4<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | KW        |    6000000 | PA      | $6009563.40   | 0.46%             | 2026-08-19      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                                                               | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    3963000 | PA      | $4006870.41   | 0.30%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD COP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-24980.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds          | Indonesia Government International Bonds                                                                   | CUSIP: 455780DQ6<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    6030000 | PA      | $6090300.00   | 0.46%             | 2028-01-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                   | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3550000 | PA      | $3607879.87   | 0.27%             | 2042-08-10      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243228  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243228  IRS JPY P F  1.00000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 4716000000 | OU      | $353592.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                            | Adventist Health System/West                                                                               | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    4560000 | PA      | $4561761.76   | 0.35%             | 2030-12-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-15518.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2623.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5122950.00   | 0.39%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5483.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-39561.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-11028.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7000.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                    | Rocket Cos Inc                                                                                             | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2135000 | PA      | $2191791.00   | 0.17%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243203  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243203  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6690000 | OU      | $-8950.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5964000 | PA      | $6080298.00   | 0.46%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09497A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   15600000 | NC      | $3054.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                    | CUSIP: 05578AAJ7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2435000 | PA      | $2383938.05   | 0.18%             | 2028-01-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Lease Trust                           | Nissan Auto Lease Trust 2024-A                                                                             | CUSIP: 65481CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1019041 | PA      | $1019699.73   | 0.08%             | 2026-10-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD SEK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1776.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4600000 | PA      | $4357421.90   | 0.33%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  1 | On Loan: No      |
| Aqueduct European CLO                             | Aqueduct European Clo 14 DAC                                                                               | CUSIP: 000000000<br>LEI: 2549003MKHH8W6CBWG92 | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1761075.99   | 0.13%             | 2039-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3132E06J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2327375 | PA      | $2437774.77   | 0.19%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 31371M4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $222.87       | 0.00%             | 2026-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TRY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $2709.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     563797 | PA      | $558433.00    | 0.04%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-67732.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD TWD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5303.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS005994  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005994  CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   10000000 | OU      | $16526.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                            | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                      | CUSIP: 013092AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3608147.40   | 0.27%             | 2026-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2025-NQM7                                                                  | CUSIP: 10570TAA3<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |    3608854 | PA      | $3643587.29   | 0.28%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $976.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -103 | NC      | $-91443.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                                                      | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     305000 | PA      | $302569.15    | 0.02%             | 2026-01-08      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                  | Greenko Dutch BV                                                                                           | CUSIP: 39530LAD2<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |     173000 | PA      | $171314.34    | 0.01%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5000000 | PA      | $5356800.00   | 0.41%             | 2030-09-30      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                | CUSIP: 6840C3AF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    2455000 | PA      | $2424890.16   | 0.18%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                                                  | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    4754000 | PA      | $4837717.94   | 0.37%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  175850537 | OU      | $-331405.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                         | TPG Trust 2024-WLSC                                                                                        | CUSIP: 872973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $959071.70    | 0.07%             | 2029-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $35988.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED BRL / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $11633.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                          | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2945000 | PA      | $3128473.50   | 0.24%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-10271.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CZK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-59095.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30810000 | PA      | $31676531.25  | 2.41%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $186.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2017-P8                                                                | CUSIP: 17326DAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $985710.99    | 0.08%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CHF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-12147.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                     | Citigroup Inc                                                                                              | CUSIP: 172967KM2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1619998.10   | 0.12%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD COP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-38648.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247833  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247833  IRS USD P F  3.25306 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   27190000 | OU      | $81678.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2025-1                                                              | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     508102 | PA      | $508452.80    | 0.04%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10661.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    3110000 | PA      | $3158516.00   | 0.24%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-30903.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                         | Sunoco LP                                                                                                  | CUSIP: 86765KAB5<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1801857.00   | 0.14%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2151.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $247.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-11976.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38382BUQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5967094 | PA      | $1265050.15   | 0.10%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3014.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX 2024-BRVE                                                                                               | CUSIP: 05612KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3347417 | PA      | $3349865.33   | 0.25%             | 2026-04-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8810.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09496A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   15600000 | NC      | $43496.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66130000 | PA      | $66130000.00  | 5.03%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       3294 | NC      | $46481.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                                                    | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3489900.19   | 0.27%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CHF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1594.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD SEK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $19225.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243189  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243189  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2130000 | OU      | $-38979.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Trust 2025-EWEST                                                                                      | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2802340.32   | 0.21%             | 2042-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                                                    | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2575000 | PA      | $2575552.08   | 0.20%             | 2042-10-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         19 | NC      | $-30839.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VW CREDIT INC                                     | VW Credit Inc                                                                                              | CUSIP: 91842KCG9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |   11412000 | PA      | $11190785.23  | 0.85%             | 2026-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE DEC25                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          3 | NC      | $2671.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-10032.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11145.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13690000 | PA      | $13620480.54  | 1.04%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-41860.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $18994.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-12856.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO XVI Ltd                                                                                      | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3003537.00   | 0.23%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $1972.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4817.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS09423A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -850000 | NC      | $-16992.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR17                                                                                           | CUSIP: 06211GAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3191885.44   | 0.24%             | 2058-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $930.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-276.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2023-C19                                                                              | CUSIP: 05553RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $3018563.80   | 0.23%             | 2056-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                            | Cadence Design Systems Inc                                                                                 | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4424860.00   | 0.34%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $257.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                 | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1709147.25   | 0.13%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU DEC25                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        183 | NC      | $-75123.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     567668 | PA      | $560671.24    | 0.04%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                                              | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7875000 | PA      | $7717342.50   | 0.59%             | 2026-07-12      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -646 | NC      | $26279.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-258.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799000 | PA      | $814701.20    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2025-I1                                                                                          | CUSIP: 12571DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1827419 | PA      | $1849975.72   | 0.14%             | 2069-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1834.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ILS                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-67915.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4107271 | PA      | $3653648.06   | 0.28%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13347.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787730 | PA      | $817040.68    | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TWD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-8541.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1584.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1013.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6127.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11698.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10059.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7789.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379QCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120264 | PA      | $15310.93     | 0.00%             | 2045-09-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14170000 | PA      | $13774236.29  | 1.05%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $12507.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2578.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $2755.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4795450.00   | 0.36%             | 2029-11-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                             | CUSIP: 00913WX18<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |    9722000 | PA      | $9720782.81   | 0.74%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                          | Sumitomo Mitsui Trust Bank Ltd                                                                             | CUSIP: 86563VBX6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   10294000 | PA      | $10377175.52  | 0.79%             | 2028-03-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243249  IRS SEK R F  2.00000 2 CCPVANILLA / Short: SR243249  IRS SEK P V 03MSTIBO 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  414830000 | OU      | $-80274.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                             | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1225000 | PA      | $1164659.61   | 0.09%             | 2037-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QQWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3713940 | PA      | $3860254.30   | 0.29%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7084140.00   | 0.54%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-4260.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-15314.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                      | CUSIP: 89832QAE9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3194880.00   | 0.24%             | 2025-10-06      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-939.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1569984 | PA      | $1503980.09   | 0.11%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7100380.00   | 0.54%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243231  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243231  IRS JPY P F  1.25000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3378000000 | OU      | $599565.59    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                         | TPG Trust 2024-WLSC                                                                                        | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4208896.48   | 0.32%             | 2029-11-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                | Credit Agricole SA                                                                                         | CUSIP: 225313AJ4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2410000 | PA      | $2426942.30   | 0.18%             | 2025-12-23      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                            | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $1963588.18   | 0.15%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $24199687.20  | 1.84%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                        | Mattel Inc                                                                                                 | CUSIP: 577081BD3<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    2815000 | PA      | $2821305.60   | 0.21%             | 2027-12-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09176A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -1110000 | NC      | $-14348.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                    | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8212518.00   | 0.63%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3037000 | PA      | $3091544.52   | 0.24%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                                | Elmwood CLO 27 Ltd                                                                                         | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4511884.50   | 0.34%             | 2037-04-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $56.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERALTO CORP                                      | Veralto Corp                                                                                               | CUSIP: 92338CAB9<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |    6710000 | PA      | $6790654.20   | 0.52%             | 2026-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-19994.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                          | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                        | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10460000 | PA      | $10255925.40  | 0.78%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR14                                                                                           | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3139352.70   | 0.24%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                             | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    5175000 | PA      | $5068188.00   | 0.39%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ZAR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-11592.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-8938.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2017-RC1                                                             | CUSIP: 95001FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $827253.75    | 0.06%             | 2060-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156477 | PA      | $158934.52    | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                        | CUSIP: 83368RBV3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    3155000 | PA      | $3195068.50   | 0.24%             | 2028-01-19      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                              | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7052150.00   | 0.54%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1685000 | PA      | $1669615.95   | 0.13%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41550000 | OU      | $-4479.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     850000 | PA      | $832867.19    | 0.06%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243243  IRS CHF R V 00MSARON 1 CCPOIS / Short: BR243243  IRS CHF P F   .50000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1170000 | OU      | $-3410.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                              | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    8000000 | PA      | $7899680.00   | 0.60%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $38364.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED SGD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $-22754.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2786.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CZK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $17604.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243279  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR243279  IRS NZD P V 03MNZDBB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12240000 | OU      | $160360.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                                               | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1710000 | PA      | $1742592.60   | 0.13%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR248759  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR248759  IRS USD P F  3.29368 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   53630000 | OU      | $28965.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10849.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AQC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269669 | PA      | $33074.64     | 0.00%             | 2046-02-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Jeld-Wen Inc                                      | JELD-WEN Inc                                                                                               | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122187.50    | 0.01%             | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                    | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5517000 | PA      | $5468891.76   | 0.42%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NOK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $1648.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                              | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8071000 | PA      | $7911274.91   | 0.60%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-1                                                                 | CUSIP: 30167MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     789824 | PA      | $790285.73    | 0.06%             | 2027-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                                                         | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3444016.40   | 0.26%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2015-1                                                                 | CUSIP: 64829CAA6<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |      62097 | PA      | $59709.00     | 0.00%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                                                                         | CUSIP: 05634WAA0<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    3775000 | PA      | $3901198.25   | 0.30%             | 2030-02-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QC6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32058 | PA      | $31445.32     | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3142GQGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5401421 | PA      | $5654262.05   | 0.43%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10272.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06055HAB9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1612114.35   | 0.12%             | 2027-04-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740000 | PA      | $701981.46    | 0.05%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $82870.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND DEC25                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $6239.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243155  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243155  IRS EUR P F  2.50000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5170000 | OU      | $109438.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                                                        | CUSIP: 80413TAS8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     800000 | PA      | $798800.00    | 0.06%             | 2025-10-22      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                              | OneMain Finance Corp                                                                                       | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1771262.25   | 0.13%             | 2030-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo VII DAC                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |    2300000 | PA      | $2700316.52   | 0.21%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003151  CDS USD R F  1.00000 2 CCPCDX / Short: SX003151  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  136199221 | OU      | $3020299.45   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CZK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $-841.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                            | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |    7300000 | PA      | $7324354.84   | 0.56%             | 2029-02-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-5MW                                                                    | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4450000 | PA      | $4428437.39   | 0.34%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5588.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-5127.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD TWD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $46900.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                                                                       | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |    4750000 | PA      | $5568119.01   | 0.42%             | 2034-11-20      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778662 | PA      | $805931.75    | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RRE Loan Management                               | RRE 2 Loan Management DAC                                                                                  | CUSIP: 000000000<br>LEI: 549300YT0EWEDPE3LK61 | Long             | ABS-CBDO         | CORP              | IE        |    3500000 | PA      | $4101230.17   | 0.31%             | 2035-07-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2755.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ILS                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-6166.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                   | Armada Euro CLO IX DAC                                                                                     | CUSIP: 000000000<br>LEI: 254900H74CRBB8IV8606 | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2230696.26   | 0.17%             | 2039-10-30      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | Cifc Funding 2023-III Ltd                                                                                  | CUSIP: 12598SAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2025000 | PA      | $2046959.10   | 0.16%             | 2037-01-20      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                             | Marble Point CLO XIV Ltd                                                                                   | CUSIP: 56608KAW3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |    5050882 | PA      | $5046315.94   | 0.38%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-4030.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-12874.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                              | Waste Management Inc                                                                                       | CUSIP: 94106LCB3<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    7332000 | PA      | $7421450.40   | 0.56%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1858174.50   | 0.14%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15370000 | PA      | $14506638.36  | 1.10%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                                            | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2610000 | PA      | $2608668.90   | 0.20%             | 2026-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS08792A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   16000000 | NC      | $66567.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 36 Clo Ltd                                                                                         | CUSIP: 92332LAF6<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2438097.50   | 0.19%             | 2032-04-20      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $5380.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6407.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR11                                                                                           | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2575840.04   | 0.20%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                               | Axon Enterprise Inc                                                                                        | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     750000 | PA      | $771030.00    | 0.06%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TWD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $24.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                                                    | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3650000 | PA      | $3765741.50   | 0.29%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                                                       | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3798329 | PA      | $3194444.43   | 0.24%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $896.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $14487.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5001.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QS5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2132461 | PA      | $2214955.94   | 0.17%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-11396.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $74.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-13837.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                        | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3175000 | PA      | $3132709.00   | 0.24%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| NATL BANK OF KUWAIT NY                            | National Bank of Kuwait/New York NY                                                                        | CUSIP: 63423KE16<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | US        |    4200000 | PA      | $4095462.84   | 0.31%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3425000 | PA      | $3430919.09   | 0.26%             | 2044-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-756.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2024-R05                                                               | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675771 | PA      | $675768.61    | 0.05%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09471A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |  -31200000 | NC      | $-22868.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $3845.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $12476.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CZK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3826.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-47982.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2074.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                             | Campbell's Company/The                                                                                     | CUSIP: 13443CXG1<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | STIV             | CORP              | US        |    2499000 | PA      | $2494082.47   | 0.19%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS006063  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006063  CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3475000 | OU      | $18469.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                            | CUSIP: 06742LBB8<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |    2425000 | PA      | $2425560.18   | 0.18%             | 2028-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25570.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-15469.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                   | Katayma CLO II Ltd                                                                                         | CUSIP: 485862AC0<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | JE        |    2500000 | PA      | $2507062.50   | 0.19%             | 2037-04-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED BRL / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $-2537.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-1                                                                 | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $801799.06    | 0.06%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-9873.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        101 | NC      | $162579.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-5MW                                                                    | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1793546.64   | 0.14%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $18752.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR15                                                                                           | CUSIP: 065924AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2547608.10   | 0.19%             | 2058-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                   | NGPL PipeCo LLC                                                                                            | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     410000 | PA      | $410975.80    | 0.03%             | 2027-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $11035.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CNH / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $-11366.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243261  IRS NOK R F  3.75000 2 CCPVANILLA / Short: SR243261  IRS NOK P V 06MNIBOR 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  758880000 | OU      | $-518396.21   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-11832.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $-5664.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10524.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                               | Silgan Holdings Inc                                                                                        | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    1925000 | PA      | $1891447.25   | 0.14%             | 2026-04-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236714  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR236714  IRS EUR P F  3.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   66290000 | OU      | $399194.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1844.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2024-B                                                                      | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5825000 | PA      | $5888386.37   | 0.45%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243235  IRS JPY R F  2.00000 2 CCPOIS / Short: SR243235  IRS JPY P V 00MTONAR 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  619000000 | OU      | $-437770.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2022-CLS                                                                                          | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $3930423.47   | 0.30%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8873.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1710567.30   | 0.13%             | 2027-01-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED SEK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $4728.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                     | VTR Commercial Mortgage Trust 2025-STEM                                                                    | CUSIP: 92890YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1350000 | PA      | $1350000.00   | 0.10%             | 2041-10-13      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BJMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289301 | PA      | $32867.36     | 0.00%             | 2045-05-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                      | CUSIP: 55361AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3150000 | PA      | $3338961.07   | 0.25%             | 2056-12-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $69.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR239730  IRS USD R F  3.37296 2 CCPOIS / Short: SR239730  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23030000 | OU      | $-716.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243200  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR243200  IRS CAD P F  2.25000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4840000 | OU      | $5475.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD IDR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5112.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CZK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $28658.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243138  IRS USD R F  3.75000 2 CCPOIS / Short: SR243138  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     830000 | OU      | $6540.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-439.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ILS                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-13203.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1659934.90   | 0.13%             | 2027-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD TWD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-766.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2025-BCAT                                                                     | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1916570 | PA      | $1917767.53   | 0.15%             | 2042-08-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                          | Standard Industries Inc/NY                                                                                 | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    1940000 | PA      | $1924033.80   | 0.15%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-6909.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR10                                                                                           | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $924949.42    | 0.07%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-5606.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     403131 | PA      | $398917.46    | 0.03%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     827000 | PA      | $833475.41    | 0.06%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                           | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $1147713.48   | 0.09%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR233404  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR233404  IRS EUR P F  2.61000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   12360000 | OU      | $895966.21    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                                                        | CUSIP: 14149YBQ0<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   10569000 | PA      | $10641714.72  | 0.81%             | 2026-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243437  IRS USD R F  3.75000 2 CCPOIS / Short: SR243437  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    4390000 | OU      | $38154.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QQWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3627089 | PA      | $3762047.10   | 0.29%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3635.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2025-B33RP                                                           | CUSIP: 95004RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2950920.11   | 0.22%             | 2042-08-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds            | Romania Government International Bonds                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1700000 | PA      | $1746669.25   | 0.13%             | 2029-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund    | Goldman Sachs Financial Square Government Fund                                                             | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |   25739603 | NS      | $25739603.26  | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4428.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Murphy Oil USA Inc                                | Murphy Oil USA Inc                                                                                         | CUSIP: 626738AD0<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $3669889.90   | 0.28%             | 2027-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-1050.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                               | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3115000 | PA      | $3175057.20   | 0.24%             | 2028-03-12      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                           | DCP Midstream Operating LP                                                                                 | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2747673.60   | 0.21%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5600.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243160  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243160  IRS EUR P F  2.25000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4870000 | OU      | $759284.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243164  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243164  IRS EUR P F  2.75000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1450000 | OU      | $28938.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-3222.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR11                                                                                           | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1075000 | PA      | $1124589.94   | 0.09%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-ROIC                                                                                         | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2490288 | PA      | $2482801.30   | 0.19%             | 2030-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                      | Sunnova Hestia I Issuer LLC                                                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     329926 | PA      | $339050.66    | 0.03%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                              | CUSIP: 172967PC9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1555000 | PA      | $1620932.00   | 0.12%             | 2028-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                       | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12843000 | PA      | $13083292.53  | 1.00%             | 2029-01-24      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243149  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243149  IRS EUR P F  2.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4510000 | OU      | $18445.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-3316.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-12543.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118007 | PA      | $13605.84     | 0.00%             | 2049-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                            | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $1964186.68   | 0.15%             | 2035-07-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                   | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2332000 | PA      | $2391652.56   | 0.18%             | 2027-07-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2024-REV1                                                                     | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3273590.27   | 0.25%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD SEK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1981.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POSCO                                             | POSCO                                                                                                      | CUSIP: 73730EAD5<br>LEI: 9884000N94NH7G6LQ816 | Long             | DBT              | CORP              | KR        |     310000 | PA      | $319631.70    | 0.02%             | 2028-01-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1396.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-14095.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS08423A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |    4860000 | NC      | $6575.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1850000 | PA      | $1858507.41   | 0.14%             | 2044-05-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | Wind River 2021-2 CLO Ltd                                                                                  | CUSIP: 97315VAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4009892.00   | 0.31%             | 2034-07-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2025-2                                                            | CUSIP: 16159VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2260207 | PA      | $2273713.76   | 0.17%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                            | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3150000 | PA      | $3178117.03   | 0.24%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                            | WESCO Distribution Inc                                                                                     | CUSIP: 95081QAQ7<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1529089.65   | 0.12%             | 2029-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-1590.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243132  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243132  IRS USD P F  3.50000 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   61050000 | OU      | $-238717.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $2716.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-1908.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD PLN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-902.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1490.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20754VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3150000 | PA      | $3200841.00   | 0.24%             | 2045-03-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BRINK'S CO/THE                                    | Brink's Co/The                                                                                             | CUSIP: 109696AC8<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     915000 | PA      | $942385.95    | 0.07%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $27515.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                                                        | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     210000 | PA      | $209811.00    | 0.02%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                             | Uber Technologies Inc                                                                                      | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1604864.00   | 0.12%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                        | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2770836.80   | 0.21%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                  | Berry Global Inc                                                                                           | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3172416.00   | 0.24%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003113  CDS USD R F  1.00000 2 CCPCDX / Short: SX003113  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   19049340 | OU      | $368903.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | MJX Venture Management II LLC                                                                              | CUSIP: 60689WAJ0<br>LEI: 549300WMOGGIXRH33849 | Long             | ABS-CBDO         | CORP              | KY        |     426889 | PA      | $426944.04    | 0.03%             | 2030-07-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-26882.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10508.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236075  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236075  IRS USD P F  3.84826 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   45470000 | OU      | $-46556.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                           | CUSIP: 95002YAA1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1624155.75   | 0.12%             | 2028-09-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                       | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4428829.59   | 0.34%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -5000000 | PA      | $-4848612.50  | -0.37%            | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD                           | Westpac New Zealand Ltd                                                                                    | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |    2265000 | PA      | $2303029.35   | 0.18%             | 2028-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $27565.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136BAC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2090139 | PA      | $266336.58    | 0.02%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2023-C19                                                                              | CUSIP: 05553RAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $843549.14    | 0.06%             | 2056-04-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265084 | PA      | $30924.23     | 0.00%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                 | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -1000000 | PA      | $-940307.60   | -0.07%            | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                  | Flatiron CLO 20 Ltd                                                                                        | CUSIP: 33883MAJ3<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3707400.00   | 0.28%             | 2036-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD ZAR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-45840.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 2221799131 | OU      | $-560731.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1745.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                             | Sycamore Tree CLO 2023-2 Ltd                                                                               | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2200000 | PA      | $2204393.40   | 0.17%             | 2037-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS09395A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |   -1478639 | NC      | $-9779.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $107790.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243221  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR243221  IRS AUD P F  4.25000 2 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2390000 | OU      | $8107.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $532.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     862407 | PA      | $853393.77    | 0.06%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC   | Tesla Lease Electric Vehicle Securitization 2025-A LLC                                                     | CUSIP: 88162VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4750000 | PA      | $4751132.78   | 0.36%             | 2028-06-20      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR233929  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR233929  IRS USD P F  4.21304 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    9650000 | OU      | $-20396.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $468.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $14517.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380TZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118078 | PA      | $12023.57     | 0.00%             | 2047-07-20      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $20636.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13883.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED ZAR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |          1 | NC      | $30274.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243183  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243183  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   72050000 | OU      | $487387.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                             | Toronto-Dominion Bank/The                                                                                  | CUSIP: 89119AZH4<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |    2669000 | PA      | $2645351.59   | 0.20%             | 2025-12-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                   | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $1572771.16   | 0.12%             | 2042-08-10      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                          | 1011778 BC ULC / New Red Finance Inc                                                                       | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2705000 | PA      | $2770812.65   | 0.21%             | 2029-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust           | Hyundai Auto Lease Securitization Trust 2024-C                                                             | CUSIP: 448984AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1931453 | PA      | $1936459.83   | 0.15%             | 2027-03-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    1825000 | PA      | $1859237.00   | 0.14%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9000000 | PA      | $-9300585.60  | -0.71%            | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CHF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $688.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QatarEnergy                                       | QatarEnergy                                                                                                | CUSIP: 000000000<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    2160000 | PA      | $2100211.20   | 0.16%             | 2026-09-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2379.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                            | American Honda Finance Corp                                                                                | CUSIP: 02665JYD6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | STIV             | CORP              | US        |    4063000 | PA      | $4041570.52   | 0.31%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $5935671.00   | 0.45%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-8971.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7480.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2267.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                                           | CUSIP: 02209SBS1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2833000 | PA      | $2878384.66   | 0.22%             | 2028-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     726621 | PA      | $734168.00    | 0.06%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-18537.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $2062.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3138WLC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54261 | PA      | $53614.85     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 29 LTD                                                                                                  | CUSIP: 74989VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3007563.00   | 0.23%             | 2039-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                       | Vistra Operations Co LLC                                                                                   | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2961323.40   | 0.23%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                      | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1375000 | PA      | $1419604.18   | 0.11%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund XXXIV DAC                                                                           | CUSIP: 000000000<br>LEI: 635400DVOSHFEKDFWJ26 | Long             | ABS-CBDO         | CORP              | IE        |    2700000 | PA      | $3159545.74   | 0.24%             | 2038-04-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences Inc                           | PRA Health Sciences Inc                                                                                    | CUSIP: 45569KAA1<br>LEI: 549300R1HR1VWWHIAK47 | Long             | DBT              | CORP              | US        |    3144000 | PA      | $3093884.64   | 0.24%             | 2026-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR241429  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR241429  IRS EUR P F  2.80000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   10910000 | OU      | $167922.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $5896.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SNF GROUP SACA                                    | SNF Group SACA                                                                                             | CUSIP: 7846ELAD9<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |    1650000 | PA      | $1609806.00   | 0.12%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-3BP                                                                     | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2186204.22   | 0.17%             | 2042-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-2, Ltd.                          | Invesco CLO 2022-2 Ltd                                                                                     | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |    6575000 | PA      | $6582035.25   | 0.50%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                        | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1670024.20   | 0.13%             | 2026-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761488 | PA      | $787679.80    | 0.06%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243186  IRS GBP R F  3.75000 2 CCPOIS / Short: SR243186  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   10400000 | OU      | $-56977.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO                          | Korea Hydro & Nuclear Power Co Ltd                                                                         | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |    3950000 | PA      | $3960349.00   | 0.30%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD PLN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10505.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD HUF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-78041.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7146.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                             | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1069975.31   | 0.08%             | 2037-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-14857.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-5273.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                        | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    2100000 | PA      | $2081940.00   | 0.16%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2910.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7575.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-33278.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU MAR26                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        143 | NC      | $-19785.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $24624.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $175.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                              | CUSIP: 55261FAN4<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    3599000 | PA      | $3472315.20   | 0.26%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243152  IRS EUR R F  2.25000 2 CCPVANILLA / Short: SR243152  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27790000 | OU      | $-250319.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-4431.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                          | Enel Finance America LLC                                                                                   | CUSIP: 29279GY76<br>LEI: 549300EGNLVUJX1DEC60 | Long             | STIV             | CORP              | US        |    6435000 | PA      | $6405810.20   | 0.49%             | 2025-11-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1850000 | PA      | $2171993.73   | 0.17%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $43196.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NOK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14294.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                        | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15000000 | PA      | $14978121.45  | 1.14%             | 2025-10-14      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 3133KQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2194805 | PA      | $2266181.56   | 0.17%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4062.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     557390 | PA      | $552086.92    | 0.04%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-4745.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                             | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4025000 | PA      | $3998797.25   | 0.30%             | 2026-12-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                  | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    6405000 | PA      | $6418898.85   | 0.49%             | 2027-09-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46046 | PA      | $46769.49     | 0.00%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM11 Trust                                                                                       | CUSIP: 67449BAL7<br>LEI: 254900KNWDG7C03UTA13 | Long             | ABS-MBS          | CORP              | US        |    3301898 | PA      | $3332782.79   | 0.25%             | 2065-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9714.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $72.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-5789.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CHF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4947.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD PLN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $114.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243200  IRS CAD R F  2.25000 2 CCPOIS / Short: SR243200  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29620000 | OU      | $-33508.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4290.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TWD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-10722.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    2040000 | PA      | $1999200.00   | 0.15%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243166  IRS EUR R F  1.75000 2 CCPOIS / Short: SR243166  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    4730000 | OU      | $-20591.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR234637  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR234637  IRS USD P F  3.59995 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  180740000 | OU      | $-580012.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                | Ingersoll Rand Inc                                                                                         | CUSIP: 45687VAC0<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |   17330000 | PA      | $17623223.60  | 1.34%             | 2027-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NOK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-15879.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                                                   | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2886212 | PA      | $2923722.34   | 0.22%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1008259 | PA      | $1000557.24   | 0.08%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8064.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                                                        | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $203400.00    | 0.02%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243206  IRS CAD R F  2.75000 2 CCPOIS / Short: SR243206  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2640000 | OU      | $-23994.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38382ET31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1468106 | PA      | $341003.20    | 0.03%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                                                    | CUSIP: 06418GAP2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    6955000 | PA      | $7070244.35   | 0.54%             | 2029-02-14      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1311.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $4895.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED SGD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $-6901.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tikehau                                           | Tikehau CLO IV DAC                                                                                         | CUSIP: 000000000<br>LEI: 5493003A9LSOVYP56X91 | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1995872.16   | 0.15%             | 2039-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                                                | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3657930.05   | 0.28%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD MXN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-26657.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                              | Zais Clo 13 Ltd                                                                                            | CUSIP: 98876NAW4<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |    1511281 | PA      | $1511715.22   | 0.12%             | 2032-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                            | Cadence Design Systems Inc                                                                                 | CUSIP: 127387AM0<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1260333.75   | 0.10%             | 2027-09-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $984.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38382FV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1167826 | PA      | $253133.09    | 0.02%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                        | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15000000 | PA      | $14930144.25  | 1.14%             | 2025-11-12      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25718.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NTL L SHT TRM FD                          | Jackson National Life Short Term Funding LLC                                                               | CUSIP: 46850CBD8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    3300000 | PA      | $3249796.77   | 0.25%             | 2026-02-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243237  IRS CHF R V 00MSARON CCPOIS / Short: BR243237  IRS CHF P F   .00000 CCPOIS                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |   17080000 | OU      | $84004.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VW Credit Inc                                     | VW Credit Inc                                                                                              | CUSIP: 91842KG18<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |    3889000 | PA      | $3769467.31   | 0.29%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140XJZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4327251 | PA      | $4480147.80   | 0.34%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                            | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8630512.00   | 0.66%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-9184.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency   | PHEAA Student Loan Trust 2016-1                                                                            | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     336378 | PA      | $335448.27    | 0.03%             | 2065-09-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NZD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-17678.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243128  IRS EUR R F  2.90000 2 CCPVANILLA / Short: SR243128  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   10110000 | OU      | $34082.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1300.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7708.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-6752.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-818.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS08793A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   -1490000 | NC      | $-39581.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                                               | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     710000 | PA      | $732492.80    | 0.06%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                          | eBay Inc                                                                                                   | CUSIP: 27864AXP5<br>LEI: OML71K8X303XQONU6T67 | Long             | STIV             | CORP              | US        |    2770000 | PA      | $2762390.26   | 0.21%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                              | Diameter Capital CLO 4 Ltd                                                                                 | CUSIP: 25255NAQ1<br>LEI: 25490087B17FBD0ODC27 | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5522005.50   | 0.42%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Crown City CLO                                    | Crown City CLO V                                                                                           | CUSIP: 22823AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1104412.10   | 0.08%             | 2037-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                             | Saudi Arabian Oil Co.                                                                                      | CUSIP: 000000000<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2130000 | PA      | $2116581.00   | 0.16%             | 2025-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                              | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6892900.00   | 0.52%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS09586A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -720000 | NC      | $-19853.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14797.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CHF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-13175.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fair Isaac Corp                                   | Fair Isaac Corp                                                                                            | CUSIP: 303250AE4<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    2705000 | PA      | $2706298.40   | 0.21%             | 2026-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED MXN / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $2554.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL4                                                                      | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4268962 | PA      | $4269825.30   | 0.32%             | 2039-02-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED COP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $18045.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25549.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED SGD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $-3315.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $237.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                      | Ford Credit Auto Lease Trust 2024-B                                                                        | CUSIP: 345279AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6100000 | PA      | $6147510.22   | 0.47%             | 2027-12-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD PLN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-174.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS09424A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    3670000 | NC      | $15049.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3399.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $38227.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2025-1                                                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2825000 | PA      | $2834668.99   | 0.22%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-21875.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3544.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                                                     | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31049.40     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                     | VTR Commercial Mortgage Trust 2025-STEM                                                                    | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2900000.00   | 0.22%             | 2041-10-13      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379GV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69455 | PA      | $6645.46      | 0.00%             | 2044-11-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                                                 | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5384583.15   | 0.41%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7420000 | PA      | $7614849.20   | 0.58%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243212  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR243212  IRS AUD P F  3.75000 2 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  120280000 | OU      | $-425173.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-19793.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTEC INC                                        | MasTec Inc                                                                                                 | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     754000 | PA      | $788729.24    | 0.06%             | 2029-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                                               | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    8410000 | PA      | $7824664.00   | 0.60%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NORDSON CORP                                      | Nordson Corp                                                                                               | CUSIP: 655663AC6<br>LEI: 14OS6Q5N55N95WM84M53 | Long             | DBT              | CORP              | US        |    7468000 | PA      | $7515197.76   | 0.57%             | 2029-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003205  CDS USD R F  1.00000 2 CCPCDX / Short: SX003205  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   99300000 | OU      | $2264129.37   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                   | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   13054000 | PA      | $13212867.18  | 1.01%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                               | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4417000 | PA      | $4511302.95   | 0.34%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4256.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747564 | PA      | $739050.14    | 0.06%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                                           | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    1680000 | PA      | $1664073.60   | 0.13%             | 2026-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD HUF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-6798.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | OPS09177A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |    2650000 | NC      | $14998.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1760.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                   | Bridgepoint Clo IX DAC                                                                                     | CUSIP: 000000000<br>LEI: 635400KHJOULRBQMED20 | Long             | ABS-CBDO         | CORP              | IE        |    1775000 | PA      | $2083939.93   | 0.16%             | 2039-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13890000 | PA      | $13844423.44  | 1.05%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $8277.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                                                        | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15000000 | PA      | $14963167.50  | 1.14%             | 2025-10-23      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Bank of America NA                                | OPS09587A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    7350000 | NC      | $13100.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Illinois Student Assistance Commision             | Illinois Student Assistance Commission                                                                     | CUSIP: 452281JD1<br>LEI: 549300FKIJ7H0L1PDN43 | Long             | ABS-O            | CORP              | US        |     192147 | PA      | $192098.23    | 0.01%             | 2045-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                      | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1375000 | PA      | $1429906.68   | 0.11%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                               | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2445000 | PA      | $2466516.00   | 0.19%             | 2027-05-09      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2025-5C11 Mortgage Trust                                                                               | CUSIP: 096941AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2513468.66   | 0.19%             | 2058-07-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243130  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243130  IRS EUR P F  2.60000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7510000 | OU      | $-43864.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Emera Inc                                         | Emera Inc                                                                                                  | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    3105000 | PA      | $3124033.65   | 0.24%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                              | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4865000 | PA      | $4841015.55   | 0.37%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199220 | PA      | $23022.70     | 0.00%             | 2046-05-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-10373.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR236073  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236073  IRS USD P F  3.52786 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10400000 | OU      | $-50059.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 31398SH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52017 | PA      | $4539.25      | 0.00%             | 2040-12-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243441  IRS AUD R F  4.00000 2 CCPVANILLA / Short: SR243441  IRS AUD P V 03MBBSW 1 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    3860000 | OU      | $25853.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                            | Tesla Auto Lease Trust 2023-B                                                                              | CUSIP: 88167QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     689245 | PA      | $690316.74    | 0.05%             | 2026-09-21      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                   | Hillenbrand Inc                                                                                            | CUSIP: 431571AF5<br>LEI: U246OE781574J2BUD366 | Long             | DBT              | CORP              | US        |    1191000 | PA      | $1221441.96   | 0.09%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $25461.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                          | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     260000 | PA      | $273384.80    | 0.02%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1521.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380YR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259991 | PA      | $31871.91     | 0.00%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD PLN                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5495.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-96.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-7290.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                            | Blue Owl Credit Income Corp                                                                                | CUSIP: 69120VAM3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    3355000 | PA      | $3306285.40   | 0.25%             | 2026-09-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2025-NSLB                                             | CUSIP: 46659JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2091790.32   | 0.16%             | 2042-06-05      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | Petroleos Mexicanos                                                                                        | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     300000 | PA      | $323775.00    | 0.02%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003335  CDS USD R F  5.00000 2 CCPCDX / Short: SX003335  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   30000000 | OU      | $2323701.00   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED ILS / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |          1 | NC      | $18943.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-4793.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2459.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR233928  IRS USD R F  3.84519 2 CCPOIS / Short: SR233928  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   14670000 | OU      | $233599.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR239731  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR239731  IRS USD P F  3.97712 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6110000 | OU      | $-54371.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED AUD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $18376.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-2739.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4963.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4723.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243440  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243440  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8770000 | OU      | $20539.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR236716  IRS EUR R F  2.60000 2 CCPVANILLA / Short: SR236716  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   44500000 | OU      | $-210856.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38382KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19878 | PA      | $2957.72      | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                                                | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2835000 | PA      | $2827543.95   | 0.22%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62356 | PA      | $8688.61      | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2023-C22                                                                              | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2850000 | PA      | $3202149.88   | 0.24%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                            | Pertamina Persero PT                                                                                       | CUSIP: 69370RAF4<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    2630000 | PA      | $2482062.50   | 0.19%             | 2030-01-21      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TRY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $2115.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR234636  IRS USD R F  3.36762 2 CCPOIS / Short: SR234636  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  172020000 | OU      | $282095.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1262.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                           | Bryant Park Funding 2023-21 Ltd                                                                            | CUSIP: 117650AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3600000.00   | 0.27%             | 2036-10-18      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-16341.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $6563.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED HUF / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |          1 | NC      | $87435.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3898.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NOK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-9140.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8974.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    9720000 | PA      | $9870660.00   | 0.75%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CZK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-19717.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                        | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19210000 | PA      | $19366831.59  | 1.47%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38380YR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254256 | PA      | $30867.86     | 0.00%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2025-BCAT                                                                     | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2874855 | PA      | $2876721.56   | 0.22%             | 2042-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-300P                                                                    | CUSIP: 67121TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2912534.84   | 0.22%             | 2042-07-13      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2714.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-1444.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                          | Huntington National Bank/The                                                                               | CUSIP: 44644MAL5<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    1569000 | PA      | $1569878.64   | 0.12%             | 2028-04-12      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-277P Mortgage Trust                                                                              | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3650000 | PA      | $3846119.57   | 0.29%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                   | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106456 | PA      | $5707.39      | 0.00%             | 2043-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24801 | PA      | $26998.42     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                       | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5151400.00   | 0.39%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                                               | CUSIP: 174610AU9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    4165000 | PA      | $4165000.00   | 0.32%             | 2025-10-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CNH                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1614.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED INR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-761.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS08415A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |   -1440000 | NC      | $-9388.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust      | American Express Credit Account Master Trust                                                               | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    3975000 | PA      | $4055102.97   | 0.31%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD JPY                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2485.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25000 | PA      | $25201.89     | 0.00%             | 2044-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -380 | NC      | $-439224.83   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-92.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243138  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243138  IRS USD P F  3.75000 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7610000 | OU      | $-59966.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $10344.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CHF                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-6583.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  175850537 | OU      | $-202658.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                               | CUSIP: 06738EBN4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1640000 | PA      | $1642214.00   | 0.12%             | 2025-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM 26 Ltd                                                                                                 | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      34590 | PA      | $34594.38     | 0.00%             | 2031-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                               | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3135000 | PA      | $3191022.45   | 0.24%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAF0<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    6150000 | PA      | $6339973.50   | 0.48%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NZD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $21221.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL5                                                                      | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1514697 | PA      | $1514635.33   | 0.12%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 15 Ltd                                                                               | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |    7600000 | PA      | $7633440.00   | 0.58%             | 2038-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                             | DP World Crescent Ltd                                                                                      | CUSIP: 000000000<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |    2060000 | PA      | $1999487.50   | 0.15%             | 2030-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                | Energy Transfer LP                                                                                         | CUSIP: 29277EX17<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | STIV             | CORP              | US        |   12584000 | PA      | $12582512.57  | 0.96%             | 2025-10-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                      | OCP Euro 2025-12 DAC                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2900000 | PA      | $3386831.14   | 0.26%             | 2038-01-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29240000 | OU      | $23801.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CAD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11069.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                         | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170298 | PA      | $17488.64     | 0.00%             | 2044-03-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3155.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1521.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $1063.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-6398.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                           | CUSIP: 31329KGZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1774.95      | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED CAD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-10291.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                            | CUSIP: 3140QQ3G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1631907 | PA      | $1672644.74   | 0.13%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR243276  IRS NZD R F  3.50000 2 CCPVANILLA / Short: SR243276  IRS NZD P V 03MNZDBB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15710000 | OU      | $147016.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2981.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5610.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD CLP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3289.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR243267  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR243267  IRS NOK P F  4.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14310000 | OU      | $9824.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                    | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3675000 | PA      | $3675000.00   | 0.28%             | 2026-10-06      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                        | Aurium Clo VIII DAC                                                                                        | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |    2200000 | PA      | $2582911.46   | 0.20%             | 2038-10-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                       | Netflix Inc                                                                                                | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $6303716.50   | 0.48%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2025-VIS2                                                                         | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    3784743 | PA      | $3818294.82   | 0.29%             | 2063-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED GBP / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-14387.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR233405  IRS EUR R F  2.53000 2 CCPOIS / Short: SR233405  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   12360000 | OU      | $-814365.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NOK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-6933.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2024-B                                                                   | CUSIP: 98164HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     528608 | PA      | $529003.80    | 0.04%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                               | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    9815000 | PA      | $9984701.35   | 0.76%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD AUD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7596.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD INR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14956.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD TWD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $26444.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1749.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED JPY / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-20227.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                           | Starwood Property Trust Inc                                                                                | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    1425000 | PA      | $1474818.00   | 0.11%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD GBP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3196.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds            | Hungary Government International Bonds                                                                     | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    3630000 | PA      | $3705322.50   | 0.28%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4950000 | PA      | $4929160.50   | 0.38%             | 2025-11-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                          | CUSIP: 3136AWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332436 | PA      | $42049.89     | 0.00%             | 2047-05-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR16                                                                                           | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3728276.32   | 0.28%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR241428  IRS EUR R F  2.40000 2 CCPVANILLA / Short: SR241428  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   31000000 | OU      | $-40985.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1839193 | PA      | $1816522.97   | 0.14%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $158.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     757960 | PA      | $748617.83    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD NOK                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9819.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                           | Bryant Park Funding 2023-21 Ltd                                                                            | CUSIP: 117650AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3601576.80   | 0.27%             | 2038-10-18      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD KRW                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9186.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED KRW / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-916.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED NOK / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $4499.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED USD / SOLD COP                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $267.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | PURCHASED TWD / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-5378.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-300P                                                                    | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1712912.64   | 0.13%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Peter Fortner

**Name of Signer:** Peter Fortner

**Title:** Vice President