# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027885
**Filing Date:** 2025-11
**Character Count:** 646720
**Document Hash:** ea033f23d4aa8218e0fc8ef8ca46b7dd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027885.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027885

**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:** 251505258

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 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:** $555667671.10

**Total Liabilities:** $193066734.75

**Net Assets:** $362600936.35

**Delayed Delivery Securities:** $17674716.67

**Cash Not Reported:** $7910809.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -586.20000000 | **1-Year:** -10802.27000000 | **5-Year:** -34521.37000000 | **10-Year:** -19051.25000000 | **30-Year:** -5463.50000000

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

- **3-Month:** -68.45000000 | **1-Year:** -4066.74000000 | **5-Year:** -17123.61000000 | **10-Year:** -4185.93000000 | **30-Year:** -3447.38000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000037818 | -0.13%               | 1.35%                | 1.12%                |
| Class ID C000037819 | -0.19%               | 1.41%                | 0.94%                |
| Class ID C000058985 | -0.11%               | 1.38%                | 1.14%                |
| Class ID C000041010 | -0.03%               | 1.34%                | 1.10%                |
| Class ID C000058984 | -0.15%               | 1.45%                | 0.98%                |
| Class ID C000037820 | 0.01%                | 1.38%                | 1.14%                |
| Class ID C000202041 | -0.10%               | 1.50%                | 1.03%                |
| Class ID C000161293 | -0.10%               | 1.50%                | 1.03%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-501566.67              | $-1010799.96                               |
| Month 2  | $183566.11               | $2840945.75                                |
| Month 3  | $369332.26               | $1065768.48                                |

**Designated Index Information**

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

- **Index Identifier:** LMUSXXXCCJ

### Schedule of Portfolio Investments

| Name                                                     | Title                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W7WP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10248 | PA      | $9477.21      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                  | Jane Street Group / JSG Finance Inc                                                                                                    | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     350000 | PA      | $363702.50    | 0.10%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-7588.42     | -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      | $-15001.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36290NBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2502 | PA      | $2552.65      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIUSBR20251009544 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1209000 | OU      | $-25375.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15421 | PA      | $14331.56     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | Boeing Co/The                                                                                                                          | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     386000 | PA      | $440341.08    | 0.12%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                     | Chart Industries Inc 2024 Term Loan B                                                                                                  | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |     623268 | PA      | $625605.18    | 0.17%             | 2030-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CLP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2024.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1450000 | PA      | $1164531.25   | 0.32%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $16368.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2018-H4                                                                                                 | CUSIP: 61691RAE6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $398125.04    | 0.11%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    1800000 | OU      | $-23600.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $1266.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NNN REIT INC                                             | NNN REIT Inc                                                                                                                           | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     400000 | PA      | $399588.00    | 0.11%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-30323.35    | -0.01%            |  |  |  | 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        |         53 | NC      | $-23170.52    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| WASTE MANAGEMENT INC                                     | Waste Management Inc                                                                                                                   | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |      27000 | PA      | $27925.56     | 0.01%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $35.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                  | Starwood Property Trust Inc                                                                                                            | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     395000 | PA      | $395051.35    | 0.11%             | 2028-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUCH202510150934 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1087000 | OU      | $-3270.88     | -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      | $1123.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUSE202510071099 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-797.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                                       | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     675000 | PA      | $668074.50    | 0.18%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $424.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36201SQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12994 | PA      | $13387.32     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                 | OBX 2025-NQM13 Trust                                                                                                                   | CUSIP: 67121UAF3<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |     552965 | PA      | $558485.32    | 0.15%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                          | Cigna Group/The                                                                                                                        | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     184000 | PA      | $169855.92    | 0.05%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6318.76      | 0.00%             |  |  |  | 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        |   13490000 | OU      | $-15920.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2558247 | PA      | $2687592.51   | 0.74%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-12961.38    | -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        |  912779789 | OU      | $103827.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-19187.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                               | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $990302.38    | 0.27%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KGR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1413043 | PA      | $1269731.65   | 0.35%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-8252.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7148 | PA      | $6641.68      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds                   | Hungary Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $417180.00    | 0.12%             | 2028-05-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36291GXG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6702 | PA      | $6863.08      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                  | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                                                           | CUSIP: 87470LAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $326785.80    | 0.09%             | 2034-03-15      | Fixed         | 6.75%                 | 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        |    6680000 | OU      | $35364.12     | 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        |   11170000 | OU      | $-90642.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                 | Constellation Brands Inc                                                                                                               | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     325000 | PA      | $286494.00    | 0.08%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     975000 | PA      | $886411.50    | 0.24%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4233.12      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $-5261.40     | -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      | $15975.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                      | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     550000 | PA      | $559630.50    | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PTCHAUSBR20251009544 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |    1209000 | OU      | $25375.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138069 | PA      | $133520.66    | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1619 | PA      | $1567.37      | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABHF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     825374 | PA      | $734216.53    | 0.20%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $633.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120628 | PA      | $121520.06    | 0.03%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4462.25     | -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      | $1224.75      | 0.00%             |  |  |  | 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        |   23920000 | OU      | $90939.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5088015 | PA      | $4145848.73   | 1.14%             | 2050-10-01      | Fixed         | 2.00%                 | 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        | 1049000000 | OU      | $3803.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $299.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54208 | PA      | $51921.21     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSJP20251120150 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    7635000 | OU      | $44802.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $947.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                    | Sycamore Tree CLO 2023-2 Ltd                                                                                                           | CUSIP: 87122CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $502441.00    | 0.14%             | 2037-01-20      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2575.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23368 | PA      | $22549.53     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WRNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7719 | PA      | $7132.38      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | 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        |   25170000 | OU      | $-440.33      | -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      | $18.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299859 | PA      | $287283.68    | 0.08%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2454638 | PA      | $2086555.82   | 0.58%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-10729.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2025-BNK50                                                                                                                        | CUSIP: 064908AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575000 | PA      | $606055.54    | 0.17%             | 2068-05-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4703.85     | -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      | $220.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| East Bay Municipal Utility District Water System Revenue | EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE                                                                                          | CUSIP: 271014TU6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     900000 | PA      | $961030.98    | 0.27%             | 2040-06-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAGBUS202510211329 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -4709000 | OU      | $-12482.60    | -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      | $158.85       | 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        |     600000 | PA      | $704430.40    | 0.19%             | 2039-01-15      | Floating      | 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        |   21410000 | OU      | $130457.55    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36210AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45194 | PA      | $46919.83     | 0.01%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-4193.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38379FEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72275 | PA      | $8932.34      | 0.00%             | 2045-11-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $17457.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349877 | PA      | $336835.53    | 0.09%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                         | Cifc Funding 2023-III Ltd                                                                                                              | CUSIP: 12598YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $402010.40    | 0.11%             | 2037-01-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | CWRBCEUGB202510100873 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |   -1079000 | OU      | $-3896.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27011 | PA      | $26571.69     | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $1410.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      75000 | PA      | $69401.25     | 0.02%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                  | Regatta VI Funding Ltd                                                                                                                 | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1254296.25   | 0.35%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $1029.62      | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $368072.00    | 0.10%             | 2031-04-15      | Fixed         | 2.85%                 | 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        |    1000000 | PA      | $1001487.00   | 0.28%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $15367.40     | 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      | $-6583.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAEUSE2025101010935 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-522.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                                                                                | CUSIP: 05583JAE2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     525000 | PA      | $528465.00    | 0.15%             | 2028-09-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                 | Angel Oak Mortgage Trust 2019-6                                                                                                        | CUSIP: 03464VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $808012.64    | 0.22%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     520000 | PA      | $479492.00    | 0.13%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246939  IRS CZK R F  3.75000 2 CCPVANILLA / Short: SR246939  IRS CZK P V 06MPRIBO 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   32230000 | OU      | $-1548.50     | -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      | $1241.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-55.83       | -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      | $-1174.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED ILS / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |          1 | NC      | $11211.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR247179  IRS MXN R F  7.50000 2 CCPOIS / Short: SR247179  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   14750000 | OU      | $4333.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2285768 | PA      | $1951324.01   | 0.54%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-16794.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $229.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-12500.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11176 | PA      | $12002.40     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-2407.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $2505.54      | 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      | $-5792.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36213X3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6559 | PA      | $6728.06      | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4550.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PTDEUEUUS202510241168 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |    6534000 | OU      | $29480.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154190 | PA      | $16468.40     | 0.00%             | 2043-11-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $8747.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                 | Celanese US Holdings LLC                                                                                                               | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     400000 | PA      | $415020.00    | 0.11%             | 2028-11-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUNZ2025101311142 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1924000 | OU      | $-75.12       | -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      | $-4551.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     372210 | PA      | $356097.07    | 0.10%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-24569.62    | -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      | $119.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                      | Peru Government International Bonds                                                                                                    | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $55975.00     | 0.02%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-367.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09644A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2210000 | NC      | $-13529.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSSG20251007128 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1262000 | OU      | $-369.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                                                                                      | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $205096.00    | 0.06%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $21092.85     | 0.01%             |  |  |  | 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        |    1210000 | OU      | $-94512.32    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $945.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                                                                                 | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     360000 | PA      | $399488.40    | 0.11%             | 2054-05-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09609A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2070000 | NC      | $-2330.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | CWBAREUCZ202510302433 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -1093000 | OU      | $-5981.17     | -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      | $-463.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                                         | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     725000 | PA      | $677403.75    | 0.19%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772770 | PA      | $1587989.29   | 0.44%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-6692.22     | -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      | $-35056.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $994120.00    | 0.27%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-12429.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9633 | PA      | $9226.26      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9067 | PA      | $8762.25      | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9458.01      | 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      | $-720.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIAUNZ202510201126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1914000 | OU      | $-17338.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAAUNZ2025101511165 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1919000 | OU      | $-27187.74    | -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      | $26357.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                   | Acrisure LLC / Acrisure Finance Inc                                                                                                    | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     280000 | PA      | $288584.80    | 0.08%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                     | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      90000 | PA      | $93676.71     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-43247.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140HBH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225138 | PA      | $216464.71    | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $154.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                   | Adventist Health System/West                                                                                                           | CUSIP: 007944AK7<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |     235000 | PA      | $241604.58    | 0.07%             | 2034-12-01      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                      | Axon Enterprise Inc                                                                                                                    | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      55000 | PA      | $56794.10     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4324.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2021-NMR1                                                                                                | CUSIP: 59982HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $677828.50    | 0.19%             | 2060-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                                           | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      40000 | PA      | $40988.00     | 0.01%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1016304.19   | 0.28%             | 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        | 2510000000 | OU      | $188192.72    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                   | Adventist Health System/West                                                                                                           | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $1095423.05   | 0.30%             | 2030-12-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $51899.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     864837 | PA      | $743493.07    | 0.21%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PTUBSEUUS2025102411465 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |    2117000 | OU      | $1590.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAUSSG20251029129 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1273000 | OU      | $-4151.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIEUCH202510070936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1085000 | OU      | $-3733.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1639888.00   | 0.45%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09382A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -723810 | NC      | $-4786.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1131 | PA      | $1098.35      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                           | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     295000 | PA      | $302847.00    | 0.08%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WK2U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48655 | PA      | $46856.43     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSIN202510298883 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1273000 | OU      | $-6048.02     | -0.00%            |  |  |  | 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        |    3160000 | OU      | $-4227.64     | -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      | $3009.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT Corp                                                 | EQT Corp                                                                                                                               | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     109000 | PA      | $108268.61    | 0.03%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-11554.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR230955  IRS BRL R V 00MBRCDI IR230955_FLO CCPNDFPREDISWAP / Short: BR230955  IRS BRL P F 13.75000 IR230955_FIX CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   29110000 | OU      | $26523.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221216 | PA      | $211017.04    | 0.06%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09497A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    7640000 | NC      | $1496.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238877 | PA      | $228088.10    | 0.06%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1398635 | PA      | $1252850.97   | 0.35%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED PLN / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |          1 | NC      | $-2780.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                     | GCAT 2019-NQM3 Trust                                                                                                                   | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $461015.35    | 0.13%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                                                                       | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1120633.50   | 0.31%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-2258.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                   | WESCO Distribution Inc                                                                                                                 | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      60000 | PA      | $62190.60     | 0.02%             | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31417MFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2765 | PA      | $2771.23      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD BRL                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3840.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17780000 | PA      | $17946687.50  | 4.95%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| BX Trust                                                 | BX Trust 2024-BIO                                                                                                                      | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050000 | PA      | $1047554.54   | 0.29%             | 2041-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Aqueduct European CLO                                    | Aqueduct European Clo 14 DAC                                                                                                           | CUSIP: 000000000<br>LEI: 2549003MKHH8W6CBWG92 | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $469620.27    | 0.13%             | 2039-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     375000 | PA      | $370920.00    | 0.10%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1767.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                                                                               | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |     180000 | PA      | $159494.40    | 0.04%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIEUGB2025100608725 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1078000 | OU      | $-2913.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2019-GS2                                                                                                 | CUSIP: 59981TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720000 | PA      | $674177.40    | 0.19%             | 2059-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                                                                           | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     875000 | PA      | $877012.50    | 0.24%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                    | DP World Crescent Ltd                                                                                                                  | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |     560000 | PA      | $581700.00    | 0.16%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09417A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    1770000 | NC      | $7258.08      | 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      | $2773.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132E06J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775792 | PA      | $812591.32    | 0.22%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUPL20251023426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1079000 | OU      | $-2733.75     | -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      | $19758.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $7007.71      | 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      | $6048.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246941  IRS THB R F  1.00000 2 CCPNDFOIS / Short: SR246941  IRS THB P V 00MTHOR 1 CCPNDFOIS                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   51390000 | OU      | $983.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $9232.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                                           | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     110000 | PA      | $119333.50    | 0.03%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust             | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                                                    | CUSIP: 949831AA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      22114 | PA      | $20024.61     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                        | Sysco Corp                                                                                                                             | CUSIP: 871829BM8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |      50000 | PA      | $55817.50     | 0.02%             | 2040-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR243132  IRS USD R F  3.50000 2 CCPOIS / Short: SR243132  IRS USD P V 00MSOFR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     930000 | OU      | $3636.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                       | Alcon Finance Corp                                                                                                                     | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |     933000 | PA      | $888915.75    | 0.25%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $496587.64    | 0.14%             | 2047-03-14      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                          | Fair Isaac Corp                                                                                                                        | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     295000 | PA      | $299767.20    | 0.08%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38376VHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311525 | PA      | $35776.02     | 0.01%             | 2040-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-36787.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-20574.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24869 | PA      | $23171.83     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-583.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WVN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14371 | PA      | $13257.80     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $27262.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                           | Solventum Corp                                                                                                                         | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1114726.00   | 0.31%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-588.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameren Corp                                              | Ameren Corp                                                                                                                            | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     125000 | PA      | $119367.50    | 0.03%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                    | KKR CLO 57 Ltd                                                                                                                         | CUSIP: 481954AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2007208.00   | 0.55%             | 2038-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3639.42      | 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      | $-217.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4798.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1160.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                          | Cigna Group/The                                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     550000 | PA      | $569200.50    | 0.16%             | 2031-05-15      | Fixed         | 5.12%                 | 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        |     975366 | PA      | $984753.33    | 0.27%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-40.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                 | Banco Mercantil del Norte SA/Grand Cayman                                                                                              | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     260000 | PA      | $258070.80    | 0.07%             | 2027-01-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-BUND FUTURE DEC25                                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -53 | NC      | $-47051.01    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $1729.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                 | International Flavors & Fragrances Inc                                                                                                 | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     170000 | PA      | $161748.20    | 0.04%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                          | Sands China Ltd                                                                                                                        | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $204202.96    | 0.06%             | 2028-08-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09615A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2190000 | NC      | $-1926.98     | -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      | $23940.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-18306.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-640.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                       | Chase Home Lending Mortgage Trust Series 2024-3                                                                                        | CUSIP: 16159HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $102400.46    | 0.03%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITNZUS202511060573 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   13118000 | OU      | $43280.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7912 | PA      | $7325.23      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PWDEUEUSE2025100211 GOLDMAN                                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -1074000 | OU      | $-232.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4370 | PA      | $4492.82      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $339.99       | 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      | $3586.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237914 | PA      | $234981.23    | 0.06%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | CWBAREUCZ20251029243 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -1090000 | OU      | $-6643.00     | -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      | $-8164.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     550000 | PA      | $565856.50    | 0.16%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   86623690 | OU      | $-163249.80   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                                | TPG Trust 2024-WLSC                                                                                                                    | CUSIP: 872973AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $252387.29    | 0.07%             | 2029-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-25222.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                 | Alexandria Real Estate Equities Inc                                                                                                    | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |     350000 | PA      | $327586.00    | 0.09%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-11698.53    | -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      | $2054.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36200N3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50437 | PA      | $52346.90     | 0.01%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-7535.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-2072.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                                          | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     145000 | PA      | $136489.95    | 0.04%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                     | OneMain Finance Corp                                                                                                                   | CUSIP: 682691AM2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     465000 | PA      | $465725.40    | 0.13%             | 2033-03-15      | 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      | $3347.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | PWRBCEUGB202510100873 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | LU        |   -1079000 | OU      | $-3240.47     | -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      | $-2413.91     | -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      | $5718.53      | 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      | $-29114.11    | -0.01%            |  |  |  | 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        |   18570000 | OU      | $55784.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410011 | PA      | $1209090.61   | 0.33%             | 2051-09-01      | Fixed         | 2.50%                 | 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        |     132106 | PA      | $132197.74    | 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      | $13230.79     | 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      | $7449.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                                          | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1367688.00   | 0.38%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $18460.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3027.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                         | Empower CLO 2023-2 Ltd                                                                                                                 | CUSIP: 29247BAQ0<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1005457.00   | 0.28%             | 2038-10-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2020-GC45                                                                                                 | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $562464.95    | 0.16%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     739118 | PA      | $737943.71    | 0.20%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-4408.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1156406.25   | 0.32%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  1 | On Loan: No      |
| MOUNTAIN VIEW CLO                                        | Mountain View CLO 2016-1 LLC                                                                                                           | CUSIP: 62432FAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1170570 | PA      | $1171513.43   | 0.32%             | 2033-04-14      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38382BUQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     891159 | PA      | $188929.60    | 0.05%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX 2024-BRVE                                                                                                                           | CUSIP: 05612KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812944 | PA      | $813538.72    | 0.22%             | 2026-04-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $32521.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC                                 | Stonex Escrow Issuer LLC                                                                                                               | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $453222.00    | 0.12%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09496A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    7640000 | NC      | $21302.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-188.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITUSCA202510011372 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1257000 | OU      | $-1.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6282.38      | 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      | $9429.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 2YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        177 | NC      | $-85152.78    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $7972.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                                                                              | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1278000 | PA      | $1324710.90   | 0.37%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CWBNPEUGB2025102108715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -1079000 | OU      | $-6866.06     | -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        |    1090000 | OU      | $-19947.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR247175  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR247175  IRS COP P F  8.50000 2 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        | 4258110000 | OU      | $-1315.73     | -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      | $-5717.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2023-3                                                                                                      | CUSIP: 92539GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225000 | PA      | $226608.46    | 0.06%             | 2068-03-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBARNZUS202510070581 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |  -12779000 | OU      | $-37094.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-10.70       | -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      | $47.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6583.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3918 | PA      | $3822.30      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-165.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                     | MAD Commercial Mortgage Trust 2025-11MD                                                                                                | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $900192.96    | 0.25%             | 2042-10-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34387 | PA      | $31815.19     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-578.72      | -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      | $-8.16        | -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      | $5870.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                       | Regency Centers LP                                                                                                                     | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |     700000 | PA      | $668458.00    | 0.18%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1828 | PA      | $1776.53      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                 | Take-Two Interactive Software Inc                                                                                                      | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     360000 | PA      | $357213.60    | 0.10%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                                                                            | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     150000 | PA      | $143311.50    | 0.04%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA BOND CBT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        191 | NC      | $478122.11    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Mortgage Residential Trust                      | Starwood Mortgage Residential Trust 2020-2                                                                                             | CUSIP: 85573DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $918507.69    | 0.25%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1650.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | OPS09567A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -1940000 | NC      | $-4651.20     | -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      | $733.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140H4BV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404262 | PA      | $398945.16    | 0.11%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                   | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                                 | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     275000 | PA      | $263659.00    | 0.07%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4881.40      | 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      | $-922.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     120000 | PA      | $134179.90    | 0.04%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $44.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                          | State of Israel                                                                                                                        | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $132575.00    | 0.04%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                 | Intercontinental Exchange Inc                                                                                                          | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     190000 | PA      | $187773.20    | 0.05%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-7122.19     | -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      | $-1179.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246938  IRS ZAR R F  6.75000 2 CCPVANILLA / Short: SR246938  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   11810000 | OU      | $1225.79      | 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      | $221.83       | 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      | $-4218.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX 2024-BRVE                                                                                                                           | CUSIP: 05612KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478202 | PA      | $478190.84    | 0.13%             | 2026-04-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246923  IRS HUF R F  6.00000 2 CCPVANILLA / Short: SR246923  IRS HUF P V 06MBUBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  368260000 | OU      | $-1568.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                 | OZLM XVII Ltd                                                                                                                          | CUSIP: 67111NAQ7<br>LEI: 549300EERMFPZ487P195 | Long             | ABS-CBDO         | CORP              | KY        |      73540 | PA      | $73538.68     | 0.02%             | 2030-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                        | Citigroup Mortgage Loan Trust Inc                                                                                                      | CUSIP: 17307GP77<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     103585 | PA      | $102291.50    | 0.03%             | 2035-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WWKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10073 | PA      | $9328.32      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                   | Aviation Capital Group LLC                                                                                                             | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     375000 | PA      | $371553.75    | 0.10%             | 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        |         88 | NC      | $-36285.71    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Petroleos Mexicanos                                      | Petroleos Mexicanos                                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      60000 | PA      | $59475.00     | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITUSCA20251028139 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1277000 | OU      | $-5837.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     767846 | PA      | $758382.00    | 0.21%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAAUNZ202510211123 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1922000 | OU      | $-20396.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Access Group Inc                                         | AccessLex Institute                                                                                                                    | CUSIP: 00432CBN0<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |     182590 | PA      | $180455.23    | 0.05%             | 2033-09-26      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $287.27       | 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      | $-1057.16     | -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      | $53091.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H9Y94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459447 | PA      | $459877.04    | 0.13%             | 2033-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                             | NY Commercial Mortgage Trust 2025-299P                                                                                                 | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $467262.38    | 0.13%             | 2047-02-10      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09630A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2060000 | NC      | $-6814.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WLA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256897 | PA      | $254240.93    | 0.07%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                                       | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $602136.00    | 0.17%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                                                                                | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     685000 | PA      | $676423.80    | 0.19%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-2795.34     | -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      | $-12711.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $240397.50    | 0.07%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2238600 | PA      | $1863801.86   | 0.51%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STERIS PLC                                               | STERIS Irish FinCo UnLtd Co                                                                                                            | CUSIP: 85917PAA5<br>LEI: 549300BRDKZ1HFI2J358 | Long             | DBT              | CORP              | IE        |     218000 | PA      | $198565.30    | 0.05%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-17461.10    | -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      | $6787.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSSG20251007128 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1262000 | OU      | $-9321.13     | -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      | $-9683.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITAUUS202510220647 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    3738000 | OU      | $3621.11      | 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      | $-38813.84    | -0.01%            |  |  |  | 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 Inflation-Indexed Bonds                                                                                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3582916 | PA      | $2868711.94   | 0.79%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-59.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      10000 | PA      | $11369.98     | 0.00%             | 2029-03-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140GULV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125363 | PA      | $124027.49    | 0.03%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     275000 | PA      | $262119.00    | 0.07%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPNZUS202510170588 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -8650000 | OU      | $-80317.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                    | QXO Building Products Inc                                                                                                              | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     440000 | PA      | $456860.80    | 0.13%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14909.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASCO CORP                                               | Masco Corp                                                                                                                             | CUSIP: 574599BS4<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     325000 | PA      | $305903.00    | 0.08%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                   | VICI Properties LP / VICI Note Co Inc                                                                                                  | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |     590000 | PA      | $583563.10    | 0.16%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                     | Keurig Dr Pepper Inc                                                                                                                   | CUSIP: 49271VAF7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     575000 | PA      | $578271.75    | 0.16%             | 2028-05-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                 | Constellation Brands Inc                                                                                                               | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     500000 | PA      | $493295.00    | 0.14%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                       | Banco Santander SA                                                                                                                     | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $600888.00    | 0.17%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PTMSIAUUS202510290644 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    3774000 | OU      | $3993.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31416MVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1472 | PA      | $1474.66      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                                                                               | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     875000 | PA      | $891572.50    | 0.25%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NOK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $9114.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CWBNPEUPL20251020426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -1077000 | OU      | $-6405.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87298 | PA      | $7197.86      | 0.00%             | 2044-09-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5798 | PA      | $5355.28      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPNZUS202510310584 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |    8642000 | OU      | $66019.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-519.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 31394EZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14889 | PA      | $15323.18     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5147.79      | 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      | $6916.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                    | Panama Government International Bonds                                                                                                  | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $145800.00    | 0.04%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4729.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                    | Uber Technologies Inc                                                                                                                  | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $1279820.80   | 0.35%             | 2029-08-15      | 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        |  198850000 | OU      | $-38479.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PWUBSEUSE2025102211045 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -1078000 | OU      | $-5654.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-7387.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6482 | PA      | $6094.14      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS 2018-TALL Mortgage Trust                                                                                                         | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $617982.65    | 0.17%             | 2037-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404808.00    | 0.11%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-6609.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUPL20251020426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -1077000 | OU      | $-2472.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1550000 | PA      | $1130531.25   | 0.31%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CAD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |          1 | NC      | $-10331.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBAREUCZ20251029243 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -1090000 | OU      | $-3203.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                  | Starwood Property Trust Inc                                                                                                            | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     245000 | PA      | $244314.00    | 0.07%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $3408.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAEUSE2025100610995 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1082000 | OU      | $-659.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     746276 | PA      | $643433.54    | 0.18%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSCA202510171375 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1277000 | OU      | $-689.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                 | EQT Corp                                                                                                                               | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     610000 | PA      | $570472.00    | 0.16%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PWUBSEUUS202510241172 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -2080000 | OU      | $-12591.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WVH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7946 | PA      | $7321.21      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     550000 | PA      | $557887.00    | 0.15%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1035787 | PA      | $928013.37    | 0.26%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-18086.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418QAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34252 | PA      | $34383.13     | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                            | J M Smucker Co/The                                                                                                                     | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     449000 | PA      | $471620.62    | 0.13%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36200KFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5600 | PA      | $5728.22      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | 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        | 1717000000 | OU      | $304752.55    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Trust                                                | TPG Trust 2024-WLSC                                                                                                                    | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1152435.94   | 0.32%             | 2029-11-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5397 | PA      | $5321.11      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-398.29      | -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      | $-5917.64     | -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      | $1979.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                                        | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $607777.29    | 0.17%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                                      | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     200000 | PA      | $191032.00    | 0.05%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                     | M&T Bank Corp                                                                                                                          | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     650000 | PA      | $690787.50    | 0.19%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $33274569.90  | 9.18%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09608A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2070000 | NC      | $-16992.80    | -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      | $46.30        | 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      | $-8103.78     | -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      | $-673.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                           | BSTN Commercial Mortgage Trust 2025-1C                                                                                                 | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675000 | PA      | $692803.27    | 0.19%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11365.62     | 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      | $7821.98      | 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      | $-24204.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-5493.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3443191.20   | 0.95%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                      | Sherwin-Williams Co/The                                                                                                                | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     500000 | PA      | $495405.00    | 0.14%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                       | Royalty Pharma PLC                                                                                                                     | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     461000 | PA      | $470708.66    | 0.13%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIUSIN20251010882 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1275000 | OU      | $-460.28      | -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      | $1633.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138M6P76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2552 | PA      | $2374.81      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $16203.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     475000 | PA      | $412580.25    | 0.11%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds        | Republic of Poland Government International Bonds                                                                                      | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     350000 | PA      | $338205.00    | 0.09%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AutoNation Inc                                           | AutoNation Inc                                                                                                                         | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     317000 | PA      | $317000.00    | 0.09%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                            | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     490000 | PA      | $450241.40    | 0.12%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $7565.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CTCITUSCN202511267132 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    7635000 | OU      | $19782.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                       | MARYLAND ST ECON DEV CORP                                                                                                              | CUSIP: 574205JB7<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |     145000 | PA      | $149598.12    | 0.04%             | 2033-11-30      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CZK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |          1 | NC      | $10987.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $570.95       | 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      | $-251.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR247181  IRS COP R F  8.75000 2 CCPNDFOIS / Short: SR247181  IRS COP P V 00MCPIBR 1 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        | 2014940000 | OU      | $112.60       | 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      | $-8992.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                                               | VMware LLC                                                                                                                             | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     175000 | PA      | $164095.75    | 0.05%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                                                                         | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     425000 | PA      | $397260.25    | 0.11%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7024 | PA      | $6511.21      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET                                 | Smyrna Ready Mix Concrete LLC                                                                                                          | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |     260000 | PA      | $274640.60    | 0.08%             | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                   | Choice Hotels International Inc                                                                                                        | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |     262000 | PA      | $267984.08    | 0.07%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-3251.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITEUPL20251015425 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -1087000 | OU      | $-1249.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHLAND SERVICES BV                                      | Ashland Services BV                                                                                                                    | CUSIP: 000000000<br>LEI: 549300S52OPXPKGJS029 | Long             | DBT              | CORP              | NL        |     650000 | PA      | $740605.25    | 0.20%             | 2028-01-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PTBARNZUS2025103105745 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    8745000 | OU      | $29395.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NISOURCE INC                                             | NiSource Inc                                                                                                                           | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96865.00     | 0.03%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                         | Kilroy Realty LP                                                                                                                       | CUSIP: 49427RAN2<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |     397000 | PA      | $399187.47    | 0.11%             | 2028-12-15      | Fixed         | 4.75%                 | 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        |   20300000 | OU      | $-2188.34     | -0.00%            |  |  |  | No            |                  2 | 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        |     640000 | OU      | $-1865.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09172A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    1280000 | NC      | $7244.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5958.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09638A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2200000 | NC      | $-20625.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     330000 | PA      | $345209.96    | 0.10%             | 2043-10-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-1446.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WN5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29084 | PA      | $26905.20     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSCN202511147105 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    5112000 | OU      | $20514.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5087636 | PA      | $4143766.40   | 1.14%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJ3P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294869 | PA      | $283096.57    | 0.08%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828823 | PA      | $826043.30    | 0.23%             | 2055-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBAREUCZ202510302433 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -1093000 | OU      | $-3961.35     | -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        |    5840000 | OU      | $76511.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-42804.06    | -0.01%            |  |  |  | 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        |   26350000 | OU      | $14231.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOANZUS2025093005815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    6389000 | OU      | $10982.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                   | Mexico City Airport Trust                                                                                                              | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     250000 | PA      | $245000.00    | 0.07%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CZK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2438.83     | -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      | $235.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246926  IRS HUF R F  6.50000 2 CCPVANILLA / Short: SR246926  IRS HUF P V 06MBUBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    8410000 | OU      | $-197.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-95401.78    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-11326.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wellington Management CLO                                | Wellington Management Clo 5 Ltd                                                                                                        | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1806102.00   | 0.50%             | 2038-10-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                                           | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     510000 | PA      | $530649.90    | 0.15%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-725.71      | -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      | $-1175.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities           | Credit Suisse First Boston Mortgage Securities Corp                                                                                    | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        273 | PA      | $265.60       | 0.00%             | 2032-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     130000 | PA      | $130419.42    | 0.04%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4166.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUGB2025102108715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -1079000 | OU      | $-3415.29     | -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      | $367.37       | 0.00%             |  |  |  | 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        |     220686 | PA      | $220815.14    | 0.06%             | 2027-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.79         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-280.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSIN20251010882 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1275000 | OU      | $-10406.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2096989 | PA      | $1878413.65   | 0.52%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 Trust 2025-5YR13                                                                                                                 | CUSIP: 06650CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $523249.32    | 0.14%             | 2058-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1007.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                       | Wind River 2021-2 CLO Ltd                                                                                                              | CUSIP: 97315VAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     425000 | PA      | $425438.18    | 0.12%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477959 | PA      | $409580.44    | 0.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $354947.79    | 0.10%             | 2047-03-14      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297KFM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26956 | PA      | $27448.64     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR230955  IRS BRL R F 13.75000 2 CCPNDFPREDISWAP / Short: SR230955  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   22260000 | OU      | $-20281.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUUS2025102411465 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -2117000 | OU      | $-1590.70     | -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      | $-8398.83     | -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      | $9913.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-SCHATZ FUT DEC25                                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -1 | NC      | $239.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1111.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-8164.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WMKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5638 | PA      | $5276.74      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33509 | PA      | $32405.15     | 0.01%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-183.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406681 | PA      | $388312.56    | 0.11%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $67505.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $586.82       | 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      | $6579.51      | 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      | $-664.77      | -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      | $-2174.34     | -0.00%            |  |  |  | No            |                  2 | 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        |    5120000 | OU      | $108380.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                                           | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     307000 | PA      | $307656.98    | 0.08%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBARAUNZ202510061112 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -3846000 | OU      | $-2.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                     | OneMain Finance Corp                                                                                                                   | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     475000 | PA      | $482148.75    | 0.13%             | 2030-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                | IRV Trust 2025-200P                                                                                                                    | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $715535.66    | 0.20%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $7356.17      | 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      | $-6362.48     | -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        |     600000 | PA      | $704430.40    | 0.19%             | 2039-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2017-BNK6                                                                                                                         | CUSIP: 060352AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525000 | PA      | $518162.09    | 0.14%             | 2060-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIAUNZ202510201126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1914000 | OU      | $-1091.72     | -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      | $4460.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                              | Houston Galleria Mall Trust 2025-HGLR                                                                                                  | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $490729.59    | 0.14%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-4942.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09418A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -410000 | NC      | $-8196.38     | -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      | $-586.48      | -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      | $-1115.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RRE Loan Management                                      | RRE 2 Loan Management DAC                                                                                                              | CUSIP: 000000000<br>LEI: 549300YT0EWEDPE3LK61 | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1757670.07   | 0.48%             | 2035-07-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2718.82     | -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      | $620.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                                | CIM Trust 2019-INV3                                                                                                                    | CUSIP: 12557LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44654 | PA      | $39906.12     | 0.01%             | 2049-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                                          | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      15000 | PA      | $10697.10     | 0.00%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                          | Armada Euro CLO IX DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 254900H74CRBB8IV8606 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $704430.40    | 0.19%             | 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        |     500000 | PA      | $505422.00    | 0.14%             | 2037-01-20      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KHRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     728347 | PA      | $716156.37    | 0.20%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                                    | Marble Point CLO XIV Ltd                                                                                                               | CUSIP: 56608KAW3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |    1165588 | PA      | $1164534.45   | 0.32%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | CWBARAUNZ202510061112 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -3846000 | OU      | $-64838.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-2361.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                                      | CUSIP: 30212PBH7<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      81000 | PA      | $75033.54     | 0.02%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QQUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1768655 | PA      | $1831147.73   | 0.51%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                     | Las Vegas Sands Corp                                                                                                                   | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     230000 | PA      | $234824.25    | 0.06%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust Series 2024-3                                                                                                 | CUSIP: 46657QAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     876431 | PA      | $796542.26    | 0.22%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | Boeing Co/The                                                                                                                          | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     457000 | PA      | $505757.33    | 0.14%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                            | BLP Commercial Mortgage Trust 2024-IND2                                                                                                | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     593017 | PA      | $593422.69    | 0.16%             | 2041-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $535626.00    | 0.15%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6590.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                  | Dryden 90 Clo Ltd                                                                                                                      | CUSIP: 262484AU2<br>LEI: 549300BLIFMJ8T7AGX24 | Long             | ABS-CBDO         | CORP              | KY        |     720000 | PA      | $720000.00    | 0.20%             | 2038-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $3119.89      | 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      | $-20817.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSCN202510317145 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -5004000 | OU      | $-6320.05     | -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      | $-3591.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246935  IRS PLN R F  4.50000 2 CCPVANILLA / Short: SR246935  IRS PLN P V 06MWIBOR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     350000 | OU      | $-312.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                                         | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     310000 | PA      | $327102.70    | 0.09%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $735954.30    | 0.20%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     125000 | PA      | $94850.00     | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     350000 | PA      | $361025.00    | 0.10%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                  | DCP Midstream Operating LP                                                                                                             | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     455000 | PA      | $414391.25    | 0.11%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $10574.40     | 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      | $-6836.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-6583.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                      | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     475000 | PA      | $474425.25    | 0.13%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3372 | PA      | $3279.75      | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUSE202510141094 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1089000 | OU      | $-13766.05    | -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      | $9614.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                     | Targa Resources Corp                                                                                                                   | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     235000 | PA      | $223355.75    | 0.06%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2193216 | PA      | $1880692.20   | 0.52%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $17695.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $659.31       | 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      | $-621.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                   | Romania Government International Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      70000 | PA      | $70914.84     | 0.02%             | 2034-01-30      | Fixed         | 6.38%                 | 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        |     687881 | PA      | $578516.82    | 0.16%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1358.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                                                                                | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     770000 | PA      | $800484.30    | 0.22%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132GEV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1160 | PA      | $1182.71      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-7855.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                                           | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $238300.00    | 0.07%             | 2033-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $777.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                            | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     462451 | PA      | $470444.04    | 0.13%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QS5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2132461 | PA      | $2214955.94   | 0.61%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31416A6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2302 | PA      | $2303.18      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2471.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2092 | PA      | $2037.12      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $1742.03      | 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      | $95608.17     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUCH202510010936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1074000 | OU      | $-123.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR246937  IRS KRW R V 03MKSDA 1 CCPNDF / Short: BR246937  IRS KRW P F  2.25000 2 CCPNDF                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  583830000 | OU      | $2007.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5983.97      | 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      | $3128.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                                         | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     141000 | PA      | $128280.39    | 0.04%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1740.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1970000 | PA      | $1796393.75   | 0.50%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     395967 | PA      | $400616.91    | 0.11%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1125 | PA      | $1148.92      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                                     | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     725000 | PA      | $737557.00    | 0.20%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                 | Rogers Communications Inc                                                                                                              | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1215000 | PA      | $1197637.65   | 0.33%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-2126.47     | -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      | $3114.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                  | Kodiak Gas Services LLC                                                                                                                | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     185000 | PA      | $188318.90    | 0.05%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $400691.28    | 0.11%             | 2044-09-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3706.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                            | TransDigm Inc                                                                                                                          | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66903.85     | 0.02%             | 2034-01-31      | Fixed         | 6.25%                 | 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        |     139129 | PA      | $139128.85    | 0.04%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1535256 | PA      | $1319847.71   | 0.36%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUGB202510290874 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |   -1090000 | OU      | $-6046.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | PWHSBEUGB2025102308735 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |   -1079000 | OU      | $-5030.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09471A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |  -15280000 | NC      | $-11199.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716122 | PA      | $724978.91    | 0.20%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36202SBG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2749 | PA      | $2796.05      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-608.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                       | MARYLAND ST ECON DEV CORP                                                                                                              | CUSIP: 574205JA9<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |     360000 | PA      | $371505.89    | 0.10%             | 2032-11-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     856779 | PA      | $847824.92    | 0.23%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-6906.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747041 | PA      | $755813.48    | 0.21%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                                                                         | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     705000 | PA      | $681114.60    | 0.19%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178338 | PA      | $171955.43    | 0.05%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-331.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIEUGB2025100608725 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1078000 | OU      | $-1949.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     525000 | PA      | $522600.75    | 0.14%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1111.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $15370.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2025-1                                                                                                      | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     858282 | PA      | $868013.91    | 0.24%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | OPS09660A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2230000 | NC      | $-16056.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     750000 | PA      | $752280.00    | 0.21%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-227.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                     | Raizen Fuels Finance SA                                                                                                                | CUSIP: 75102XAE6<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     460000 | PA      | $443380.20    | 0.12%             | 2037-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-2615.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUCH202510200932 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1077000 | OU      | $-3218.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                     | Cleveland-Cliffs Inc                                                                                                                   | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     395000 | PA      | $399345.00    | 0.11%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-516.33      | -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      | $1881.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Crown City CLO                                           | Crown City CLO IV                                                                                                                      | CUSIP: 228233AU6<br>LEI: 549300AGQI0XSPNAK945 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $654224.35    | 0.18%             | 2037-04-20      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2152484 | PA      | $1748662.71   | 0.48%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                  | Home Equity Asset Trust 2002-1                                                                                                         | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        257 | PA      | $241.81       | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $325.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                          | Katayma CLO II Ltd                                                                                                                     | CUSIP: 485862AC0<br>LEI: 254900HW0KYG9AOGVP97 | Long             | ABS-CBDO         | CORP              | JE        |     600000 | PA      | $601695.00    | 0.17%             | 2037-04-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO SAS                                           | OPAL BIDCO                                                                                                                             | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |     665000 | PA      | $681186.10    | 0.19%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $31569.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128P7FQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12853 | PA      | $12980.08     | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12370000 | PA      | $12388361.78  | 3.42%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2025-1                                                                                             | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     225000 | PA      | $225505.98    | 0.06%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $2597.24      | 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      | $-7581.20     | -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        |        214 | NC      | $434621.35    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BFLD Trust                                               | BFLD Commercial Mortgage Trust 2025-5MW                                                                                                | CUSIP: 088921AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $498207.40    | 0.14%             | 2042-10-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2025-5YR15                                                                                                                       | CUSIP: 065924AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $675896.03    | 0.19%             | 2058-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                    | Qnity Electronics Inc                                                                                                                  | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81782.40     | 0.02%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-719.62      | -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        |  365280000 | OU      | $-249525.30   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36201SSM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7466 | PA      | $7667.66      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3126.00      | 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      | $-483.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-630.41      | -0.00%            |  |  |  | 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        |   32280000 | OU      | $194388.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256869 | PA      | $219478.00    | 0.06%             | 2051-09-20      | Fixed         | 2.50%                 | 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        |  351000000 | OU      | $-248235.10   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                 | Host Hotels & Resorts LP                                                                                                               | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     224000 | PA      | $199299.52    | 0.05%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-498.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $56.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                              | PRKCM 2021-AFC2 Trust                                                                                                                  | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603186 | PA      | $538356.86    | 0.15%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36291NPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9047 | PA      | $9345.43      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $134.11       | 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      | $-3541.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITUSCA20251028139 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1277000 | OU      | $-5471.95     | -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        |     300000 | PA      | $300000.00    | 0.08%             | 2041-10-13      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297KC91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12940 | PA      | $13176.26     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5623.51      | 0.00%             |  |  |  | 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        |     800000 | PA      | $847990.11    | 0.23%             | 2056-12-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $3306.47      | 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      | $-2606.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                 | Neuberger Berman Loan Advisers CLO 45 Ltd                                                                                              | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $460579.60    | 0.13%             | 2036-10-14      | Floating      | 5.38%                 | 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        |   11340000 | OU      | $-352.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2004.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $1308.83      | 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        |    2490000 | OU      | $2816.88      | 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      | $21748.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                      | Cardinal Health Inc                                                                                                                    | CUSIP: 14149YBN7<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     247000 | PA      | $253980.22    | 0.07%             | 2029-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36972 | PA      | $37055.95     | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                   | CWUBSAUNZ202510141126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |   -1914000 | OU      | $-17221.78    | -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      | $-1583.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                           | Rocket Cos Inc                                                                                                                         | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     255000 | PA      | $263417.55    | 0.07%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                       | JP Morgan Alternative Loan Trust 2006-A7                                                                                               | CUSIP: 466286AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98330 | PA      | $93821.55     | 0.03%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                      | Invitation Homes Operating Partnership LP                                                                                              | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |     300000 | PA      | $283206.00    | 0.08%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                   | Mexico City Airport Trust                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $199336.00    | 0.05%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13301.28     | 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      | $836.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | PWHSBEUPL2025101042625 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |   -1085000 | OU      | $-2059.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                                                                                     | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $181398.00    | 0.05%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08787A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -640000 | NC      | $-17001.45    | -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      | $-8318.39     | -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      | $2441.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1884609.40   | 0.52%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                          | Xcel Energy Inc                                                                                                                        | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     900000 | PA      | $891180.00    | 0.25%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-13682.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911423 | PA      | $923539.52    | 0.25%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                 | Cheniere Energy Partners LP                                                                                                            | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     230000 | PA      | $243397.50    | 0.07%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-5474.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR246931  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR246931  IRS THB P F  1.25000 2 CCPNDFOIS                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   38020000 | OU      | $-5446.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36200NXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58315 | PA      | $60558.23     | 0.02%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                                          | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     800000 | PA      | $808192.00    | 0.22%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246932  IRS CNY R F  1.50000 CCPNDF / Short: SR246932  IRS CNY P V 03MCNRR CCPNDF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |    9100000 | OU      | $-1784.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $74.31        | 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      | $2078.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                                         | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     750000 | PA      | $653827.50    | 0.18%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     572083 | PA      | $566998.16    | 0.16%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234435 | PA      | $231985.32    | 0.06%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1434.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                                       | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $306056.93    | 0.08%             | 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        |    6000000 | OU      | $434935.06    | 0.12%             |  |  |  | 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        |    1900000 | OU      | $16513.47     | 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      | $-14875.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $87662.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437328 | PA      | $421026.93    | 0.12%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273434 | PA      | $234315.79    | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                                                                         | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1395000 | PA      | $1427531.40   | 0.39%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $16465.95     | 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      | $-12943.80    | -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      | $2715.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PTBARNZUS20251020059 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   12927000 | OU      | $141682.20    | 0.04%             |  |  |  | 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        |     872315 | NS      | $872315.00    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $14790.94     | 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      | $-3041.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                                                                               | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     336000 | PA      | $326222.40    | 0.09%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1729552 | PA      | $1544951.94   | 0.43%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                            | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     580000 | PA      | $580858.40    | 0.16%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W3FS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15565 | PA      | $14481.81     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2024-5YR8                                                                                                                        | CUSIP: 065923BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $155171.03    | 0.04%             | 2057-08-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TWD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |          1 | NC      | $-3443.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7710 | PA      | $7521.18      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOANZUS2025093005785 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |  -12713000 | OU      | $0.00         | 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      | $-3645.21     | -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      | $-2986.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4003657 | PA      | $3959214.89   | 1.09%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                     | Amkor Technology Inc                                                                                                                   | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |     164000 | PA      | $165672.80    | 0.05%             | 2033-10-01      | Fixed         | 5.88%                 | 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        |    2380000 | OU      | $371067.05    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $15005.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAUSCN202510217104 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1271000 | OU      | $-1878.54     | -0.00%            |  |  |  | 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        |     690000 | OU      | $13770.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2024-5YR11                                                                                                                       | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $313839.05    | 0.09%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSCA2025101413815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1277000 | OU      | $-9342.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2025-ROIC                                                                                                                     | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     697280 | PA      | $695184.36    | 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        |      87980 | PA      | $90413.50     | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                  | Kodiak Gas Services LLC                                                                                                                | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |     120000 | PA      | $123202.80    | 0.03%             | 2035-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                                                                                | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     225000 | PA      | $228123.00    | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PTCHANZUS202510070581 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   12779000 | OU      | $37094.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08786A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    6830000 | NC      | $28416.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-506.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                 | Mill City Mortgage Loan Trust 2017-2                                                                                                   | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67368 | PA      | $65999.24     | 0.02%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6501.88      | 0.00%             |  |  |  | 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        |    2200000 | OU      | $8997.83      | 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      | $78270.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-435.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                                        | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $554001.37    | 0.15%             | 2035-07-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $2591.02      | 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      | $8654.23      | 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      | $29338.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AECOM                                                    | AECOM                                                                                                                                  | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     872000 | PA      | $891829.28    | 0.25%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                                                                                  | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     150000 | PA      | $151701.00    | 0.04%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBARNZUS202510310584 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -8642000 | OU      | $-66019.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6395976.30   | 1.76%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3220.17      | 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      | $-204.67      | -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        |     250000 | PA      | $251149.65    | 0.07%             | 2044-05-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-293.36      | -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      | $-7229.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12271 | PA      | $11446.56     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | 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        |     875000 | PA      | $882810.29    | 0.24%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3972.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     856053 | PA      | $764683.96    | 0.21%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                      | Peru Government International Bonds                                                                                                    | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      20000 | PA      | $11220.00     | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | 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        |   27320000 | OU      | $-106826.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| State of California                                      | CALIFORNIA ST                                                                                                                          | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     210000 | PA      | $256224.13    | 0.07%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1448.46      | 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      | $-25861.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08400A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -710000 | NC      | $-4628.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                           | Apidos CLO LIII                                                                                                                        | CUSIP: 03771EAA8<br>LEI: 254900V9JISXCX9V0G97 | Long             | ABS-CBDO         | CORP              | KY        |    1925000 | PA      | $1930925.15   | 0.53%             | 2038-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4083.12      | 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      | $5165.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                  | Global Partners LP / GLP Finance Corp                                                                                                  | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     135000 | PA      | $142473.60    | 0.04%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                         | IRB Holding Corp 2024 1st Lien Term Loan B                                                                                             | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     666588 | PA      | $666621.15    | 0.18%             | 2027-12-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3085.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                                           | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     425000 | PA      | $532546.25    | 0.15%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                           | Morgan Stanley                                                                                                                         | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200956.00    | 0.06%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WXWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7381 | PA      | $6818.77      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                    | Palmer Square CLO 2024-2 LTD                                                                                                           | CUSIP: 69703LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1775000 | PA      | $1783411.73   | 0.49%             | 2037-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 35 Ltd                                       | Elmwood CLO 35 Ltd                                                                                                                     | CUSIP: 29004NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2175000 | PA      | $2182431.98   | 0.60%             | 2037-10-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                                                                           | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     450000 | PA      | $448357.50    | 0.12%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BRINK'S CO/THE                                           | Brink's Co/The                                                                                                                         | CUSIP: 109696AC8<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |      70000 | PA      | $72095.10     | 0.02%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A3B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127631 | PA      | $13270.20     | 0.00%             | 2042-02-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09643A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2210000 | NC      | $-16904.07    | -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      | $-2010.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOAEUUS202511061169 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |    6508000 | OU      | $41557.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD HUF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-51116.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $491.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221871 | PA      | $213323.83    | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $845.25       | 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      | $-1.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                       | Wind River 2021-2 CLO Ltd                                                                                                              | CUSIP: 97315VAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     450000 | PA      | $450464.40    | 0.12%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                         | Berry Global Inc                                                                                                                       | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     375000 | PA      | $371767.50    | 0.10%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $892.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                                                                                  | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     624000 | PA      | $394992.00    | 0.11%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $813904.38    | 0.22%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     675000 | PA      | $650646.00    | 0.18%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1357722.27   | 0.37%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3201.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                                          | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     355000 | PA      | $372249.45    | 0.10%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SeaWorld Parks & Entertainment Inc                       | SeaWorld Parks & Entertainment Inc 2024 Term Loan B3                                                                                   | CUSIP: 78488CAL4<br>LEI: 549300UZV72O3371JJ53 | Long             | LON              | CORP              | US        |     245644 | PA      | $245029.65    | 0.07%             | 2031-12-04      | Floating      | 6.16%                 | 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        |   18460000 | OU      | $-18901.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITNZUS2025093005785 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   12713000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALUMINA PTY LTD                                          | Alumina Pty Ltd                                                                                                                        | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     240000 | PA      | $246837.60    | 0.07%             | 2032-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-8910.09     | -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      | $3395.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSCA2025101413815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1277000 | OU      | $-1063.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                               | ROCK Trust 2024-CNTR                                                                                                                   | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1544940.56   | 0.43%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $623.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                                                                                   | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     275000 | PA      | $274444.50    | 0.08%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1099.00      | 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      | $-16773.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CTBOAUSMX202511131878 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    2554000 | OU      | $14682.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR247174  IRS MXN R F  7.25000 2 CCPOIS / Short: SR247174  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   32000000 | OU      | $7706.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON CORP                                       | First Horizon Corp                                                                                                                     | CUSIP: 320517AE5<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |     330000 | PA      | $339642.60    | 0.09%             | 2031-03-07      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                       | Viking Cruises Ltd                                                                                                                     | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     545000 | PA      | $544514.95    | 0.15%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60458 | PA      | $7052.90      | 0.00%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64819 | PA      | $65621.15     | 0.02%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                                                                       | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      75000 | PA      | $74960.25     | 0.02%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                         | Flatiron CLO 20 Ltd                                                                                                                    | CUSIP: 33883MAJ3<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1102200.00   | 0.30%             | 2036-05-20      | Floating      | 5.58%                 | 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        | 1066839370 | OU      | $-269245.92   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 5YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         29 | NC      | $-2066.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $349069.23    | 0.10%             | 2040-01-13      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                          | CVS Health Corp                                                                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1388000 | PA      | $1301402.68   | 0.36%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                       | One New York Plaza Trust 2020-1NYP                                                                                                     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575000 | PA      | $562660.53    | 0.16%             | 2036-01-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-3305.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                    | MET TRANSPRTN AUTH NY REVENUE                                                                                                          | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      60000 | PA      | $55369.79     | 0.02%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $19566.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $-8720.49     | -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      | $257.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-1657.48     | -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      | $17989.66     | 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      | $-131.29      | -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      | $-3006.82     | -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      | $11229.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WP CAREY INC                                             | WP Carey Inc                                                                                                                           | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |     425000 | PA      | $418319.00    | 0.12%             | 2029-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                       | Morgan Stanley Mortgage Loan Trust 2007-7AX                                                                                            | CUSIP: 61754HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2331463 | PA      | $569869.57    | 0.16%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $2187.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATL BANK OF KUWAIT NY                                   | National Bank of Kuwait/New York NY                                                                                                    | CUSIP: 63376F2N9<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | KW        |    1732000 | PA      | $1732767.97   | 0.48%             | 2025-12-02      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2244.09      | 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      | $-1940.72     | -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      | $2390.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bonds               | Ivory Coast Government International Bonds                                                                                             | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $191550.00    | 0.05%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6618.64      | 0.00%             |  |  |  | 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        |     100000 | OU      | $339.23       | 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      | $-1381.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                                                                             | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     650000 | PA      | $629148.00    | 0.17%             | 2027-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-4716.59     | -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        |     602056 | PA      | $595763.84    | 0.16%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                       | Steel Dynamics Inc                                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     275000 | PA      | $261665.25    | 0.07%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $3466.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTEC INC                                               | MasTec Inc                                                                                                                             | CUSIP: 576323AP4<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |     610000 | PA      | $608389.60    | 0.17%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7848.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSCA202510171375 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1277000 | OU      | $-14615.27    | -0.00%            |  |  |  | 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        |    4750000 | OU      | $-10039.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                   | Galaxy Pipeline Assets Bidco Ltd                                                                                                       | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     200000 | PA      | $175750.00    | 0.05%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                        | Kinder Morgan Inc                                                                                                                      | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |        500 | PA      | $581.58       | 0.00%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUPL20251023426 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1079000 | OU      | $-7129.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09637A SWAPTION                                                                                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2200000 | NC      | $-7355.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                      | Ashtead Capital Inc                                                                                                                    | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     301000 | PA      | $315508.20    | 0.09%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                                                                               | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $506315.00    | 0.14%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27389 | PA      | $26233.82     | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-15765.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL L                                 | Huntsman International LLC                                                                                                             | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     350000 | PA      | $335160.00    | 0.09%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITEUPL20251015425 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -1087000 | OU      | $-7729.90     | -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      | $-1710.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                            | Citigroup Inc                                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     125000 | PA      | $125197.50    | 0.03%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                           | Air Lease Corp                                                                                                                         | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     875000 | PA      | $870257.50    | 0.24%             | 2026-06-01      | Fixed         | 3.75%                 | 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        |   33470000 | OU      | $226410.34    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                      | Starwood Mortgage Residential Trust 2021-6                                                                                             | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316076 | PA      | $278610.62    | 0.08%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     190000 | PA      | $214113.38    | 0.06%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                          | Durst Commercial Mortgage Trust 2025-151                                                                                               | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $355141.87    | 0.10%             | 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        |     185000 | PA      | $189501.05    | 0.05%             | 2029-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36292MYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $157.46       | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $5035.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3000000 | PA      | $-3100195.20  | -0.85%            | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $7111.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-259.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1416166 | PA      | $1213926.47   | 0.33%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                            | JDE Peet's NV                                                                                                                          | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     375000 | PA      | $360671.25    | 0.10%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                              | Oracle Corp                                                                                                                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2239000 | PA      | $2109518.63   | 0.58%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | Sunoco LP                                                                                                                              | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     465000 | PA      | $461010.30    | 0.13%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $27592.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $4464.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                          | Barclays Dryrock Issuance Trust                                                                                                        | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     775000 | PA      | $773443.79    | 0.21%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAAUNZ2025101311142 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1924000 | OU      | $-29802.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1073.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $1332.38      | 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      | $15925.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIUSJP2025112014715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -5007000 | OU      | $-67244.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD COP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $172.11       | 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      | $1434.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION INC                                           | AutoNation Inc                                                                                                                         | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     450000 | PA      | $452407.50    | 0.12%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36290XLG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6415 | PA      | $6577.77      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                                    | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     635000 | PA      | $476067.99    | 0.13%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $21426.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187546.00    | 0.05%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-14269.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $825951.52    | 0.23%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS09173A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -540000 | NC      | $-6980.14     | -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      | $-6186.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAUSIN20251003884 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1277000 | OU      | $-6720.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                         | CVC Cordatus Loan Fund XXXIV DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400DVOSHFEKDFWJ26 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $936161.70    | 0.26%             | 2038-04-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1970.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR247182  IRS CLP R F  5.25000 2 CCPNDFCAMARAPROMEDIO / Short: SR247182  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  412010000 | OU      | $-1496.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $13222726.40  | 3.65%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences Inc                                  | PRA Health Sciences Inc                                                                                                                | CUSIP: 45569KAA1<br>LEI: 549300R1HR1VWWHIAK47 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196812.00    | 0.05%             | 2026-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-8184.48     | -0.00%            |  |  |  | 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        |    5380000 | OU      | $82806.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $21.39        | 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      | $22510.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $2736050.70   | 0.75%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8498 | PA      | $8139.08      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | 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        |    5310000 | OU      | $-29091.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-947.63      | -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      | $-21676.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                      | American International Group Inc                                                                                                       | CUSIP: 026874DR5<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     250000 | PA      | $239387.50    | 0.07%             | 2030-06-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                       | Dominican Republic International Bond                                                                                                  | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     150000 | PA      | $157200.00    | 0.04%             | 2036-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                            | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      88462 | PA      | $93630.49     | 0.03%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1484.55      | 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      | $-4077.23     | -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      | $-989.80      | -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        |     225000 | PA      | $209342.99    | 0.06%             | 2037-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY                                  | Howard Midstream Energy Partners LLC                                                                                                   | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195000 | PA      | $198950.70    | 0.05%             | 2034-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                   | Williams Cos Inc/The                                                                                                                   | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     425000 | PA      | $446815.25    | 0.12%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                      | Macquarie Group Ltd                                                                                                                    | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     450000 | PA      | $446130.00    | 0.12%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                      | Travel + Leisure Co                                                                                                                    | CUSIP: 894164AC6<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |     550000 | PA      | $548955.00    | 0.15%             | 2033-09-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD                   | Goldentree Loan Management US Clo 18 Ltd                                                                                               | CUSIP: 38139LAC1<br>LEI: 549300NF42KVPC7ZHX42 | Long             | ABS-CBDO         | CORP              | JE        |    1400000 | PA      | $1402172.80   | 0.39%             | 2037-01-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8174 | PA      | $7619.41      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                           | Manhattan West 2020-1MW Mortgage Trust                                                                                                 | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $714668.65    | 0.20%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED TRY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |          1 | NC      | $1450.32      | 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        |         70 | NC      | $-9704.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2760616 | PA      | $2250384.81   | 0.62%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529741 | PA      | $475626.77    | 0.13%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08399A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    2370000 | NC      | $3206.56      | 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      | $54757.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2025-5C36                                                                                                         | CUSIP: 05556CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $781716.38    | 0.22%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-11350.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DPHR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454769 | PA      | $471690.69    | 0.13%             | 2052-12-01      | Fixed         | 6.00%                 | 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        |   13560000 | OU      | $-122142.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BLOCK INC                                                | Block Inc                                                                                                                              | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     145000 | PA      | $148546.70    | 0.04%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-583.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                   | CACI International Inc                                                                                                                 | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |     180000 | PA      | $185873.40    | 0.05%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36201U5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8672 | PA      | $8909.09      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-10665.87    | -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      | $-34125.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3522.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | CWHSBEUGB2025102308735 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |   -1079000 | OU      | $-5857.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140EWUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30154 | PA      | $28882.50     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                          | Katayma CLO I Ltd                                                                                                                      | CUSIP: 48585JAE0<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |     600000 | PA      | $601276.20    | 0.17%             | 2036-10-20      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                              | Harvest CLO                                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $704430.40    | 0.19%             | 2039-01-15      | Floating      | 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      | $-51759.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                  | Dryden 97 CLO Ltd                                                                                                                      | CUSIP: 26248XAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1310000 | PA      | $1318166.54   | 0.36%             | 2038-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-176.64      | -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      | $4229.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CTMSIUSCN202510317145 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |    5004000 | OU      | $6320.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITUSSG202510211282 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -1271000 | OU      | $-8107.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                                 | Standard Building Solutions Inc                                                                                                        | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     693000 | PA      | $702625.77    | 0.19%             | 2033-08-01      | 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      | $3129.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $2481228.90   | 0.68%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $449.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     840000 | PA      | $886124.40    | 0.24%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $961.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09653A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2110000 | NC      | $-13572.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MPDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9025 | PA      | $8340.03      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Student Loan Trust 2017-2                                                                                                      | CUSIP: 63939RAA2<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    1947730 | PA      | $1964205.08   | 0.54%             | 2066-12-27      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                         | CoStar Group Inc                                                                                                                       | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |     625000 | PA      | $571806.25    | 0.16%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1732503 | PA      | $1659804.14   | 0.46%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     391341 | PA      | $396181.19    | 0.11%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                                           | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      90000 | PA      | $97713.00     | 0.03%             | 2029-01-19      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-5480.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1920000 | PA      | $1804950.01   | 0.50%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| CBAMR Ltd                                                | CBAMR 2018-5 Ltd                                                                                                                       | CUSIP: 12516LAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1200978.00   | 0.33%             | 2038-10-17      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                        | Seagate Data Storage Technology Pte Ltd                                                                                                | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     225000 | PA      | $229549.50    | 0.06%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $10074199.00  | 2.78%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2443763 | PA      | $2401695.60   | 0.66%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8434.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1525.42      | 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      | $171.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIEUCH202510070936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-1146.46     | -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        |   14060000 | OU      | $-15905.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     275000 | PA      | $247321.25    | 0.07%             | 2033-10-29      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCM INVESTMENTS HOLDINGS                                 | LCM Investments Holdings II LLC                                                                                                        | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     265000 | PA      | $280158.00    | 0.08%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOAAUUS202511100656 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    7743000 | OU      | $35480.54     | 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      | $-1595.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-136.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUCH202510200932 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1077000 | OU      | $-5080.58     | -0.00%            |  |  |  | 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        |    2170000 | OU      | $-9446.84     | -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        |   87900000 | OU      | $-282079.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CWDEUEUSE2025100211 GOLDMAN                                                                                                            | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |   -1074000 | OU      | $-6212.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAEUSE2025101010935 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-13993.19    | -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      | $12155.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-9422.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -12000000 | PA      | $-11900156.40 | -3.28%            | 2048-10-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $11942.87     | 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      | $-61986.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                      | Petroleos Mexicanos                                                                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     280000 | PA      | $271460.00    | 0.07%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $8977.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-3211.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2000000 | PA      | $-1786366.20  | -0.49%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO                                   | Allegion US Holding Co Inc                                                                                                             | CUSIP: 01748NAF1<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |     256000 | PA      | $267266.56    | 0.07%             | 2034-05-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                            | 1988 CLO 4 Ltd                                                                                                                         | CUSIP: 68252EAE1<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $502585.00    | 0.14%             | 2037-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-12783.38    | -0.00%            |  |  |  | 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        |    1370000 | OU      | $-12451.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | CWUBSEUSE2025102211045 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |   -1078000 | OU      | $-6395.21     | -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      | $11747.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | PWDEUEUUS2025100911615 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | LU        |   -6501000 | OU      | $-5747.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITEUUS202510241172 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |    2080000 | OU      | $12591.08     | 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      | $-1004.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUNZ2025101511165 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -1919000 | OU      | $-167.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                         | Vista Point Securitization Trust 2020-2                                                                                                | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $471817.80    | 0.13%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Tikehau                                                  | Tikehau CLO IV DAC                                                                                                                     | CUSIP: 000000000<br>LEI: 5493003A9LSOVYP56X91 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $587021.22    | 0.16%             | 2039-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       2600 | PA      | $2575.22      | 0.00%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36290QX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5373 | PA      | $5477.21      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERI                                 | Solstice Advanced Materials Inc                                                                                                        | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |      85000 | PA      | $85235.45     | 0.02%             | 2033-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1706.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                                                                        | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     500000 | PA      | $442975.00    | 0.12%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $3505.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                  | Dell International LLC / EMC Corp                                                                                                      | CUSIP: 24703TAG1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      75000 | PA      | $77448.75     | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SNF GROUP SACA                                           | SNF Group SACA                                                                                                                         | CUSIP: 7846ELAE7<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |     320000 | PA      | $296870.40    | 0.08%             | 2030-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LV Trust                                                 | Fashion Show Mall LLC                                                                                                                  | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $507184.89    | 0.14%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      70000 | PA      | $51441.97     | 0.01%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PTBOAGBUS202510211354 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |    3767000 | OU      | $49091.83     | 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      | $2538.37      | 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      | $-5925.79     | -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      | $1235.87      | 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      | $-8840.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAUSIN20251003884 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1277000 | OU      | $-218.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                                                                             | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     467000 | PA      | $470283.01    | 0.13%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $955.44       | 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      | $1619.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR NOTE (CBT)DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        296 | NC      | $-52148.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-25270.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED INR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |          1 | NC      | $-449.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EP2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90383 | PA      | $90211.32     | 0.02%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIUSIN202510298883 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1273000 | OU      | $-3869.92     | -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      | $-831.21      | -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      | $-8982.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1984 | PA      | $1920.70      | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAAUNZ202510231125 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1928000 | OU      | $-18466.59    | -0.01%            |  |  |  | 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        |    8220000 | OU      | $40428.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                            | CWHSBEUPL2025101042625 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-4519.60     | -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        |     376744 | PA      | $375702.05    | 0.10%             | 2065-09-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-563.75      | -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      | $-1187.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                        | ILLINOIS ST                                                                                                                            | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     521429 | PA      | $568491.36    | 0.16%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3282.79      | 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      | $-15436.09    | -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        |    4990000 | OU      | $16822.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493371 | PA      | $400982.91    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $551.26       | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon 67 Ltd                                           | Octagon 67 Ltd                                                                                                                         | CUSIP: 67571LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1708875.70   | 0.47%             | 2038-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $277.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                   | PWUBSAUNZ202510141126 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | LU        |   -1914000 | OU      | $-764.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                         | Lamar Media Corp                                                                                                                       | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     545000 | PA      | $541043.30    | 0.15%             | 2033-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NOK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |          1 | NC      | $-10100.78    | -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        |     600000 | PA      | $602400.60    | 0.17%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-325.67      | -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      | $6621.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALUMINA PTY LTD                                          | Alumina Pty Ltd                                                                                                                        | CUSIP: 02220AAA5<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     285000 | PA      | $291532.20    | 0.08%             | 2030-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      41572 | PA      | $31944.96     | 0.01%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUCH202510010936 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1074000 | OU      | $-2229.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     475000 | PA      | $483307.75    | 0.13%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: BR247178  IRS CLP R V 00MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BR247178  IRS CLP P F  4.50000 2 CCPNDFCAMARAPROMEDIO             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  812620000 | OU      | $738.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246933  IRS INR R F  5.50000 2 CCPNDFOIS / Short: SR246933  IRS INR P V 00MMIBOR 1 CCPNDFOIS                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  197470000 | OU      | $-832.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Adient US LLC                                            | Adient US LLC 2024 Term Loan B2                                                                                                        | CUSIP: 00687MAH4<br>LEI: 213800SOTRCDGZUHL712 | Long             | LON              | CORP              | US        |     664875 | PA      | $664875.00    | 0.18%             | 2031-01-31      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | OPS09586A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -360000 | NC      | $-9926.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                                                                               | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     775000 | PA      | $792685.50    | 0.22%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR246940  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR246940  IRS PLN P F  3.75000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1340000 | OU      | $1031.55      | 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      | $-920.58      | -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      | $31877.96     | 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      | $3059.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138XRXN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9633 | PA      | $9830.02      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-3825.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | Sunoco LP                                                                                                                              | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     420000 | PA      | $417018.00    | 0.12%             | 2031-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED COP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CO        |          1 | NC      | $11067.47     | 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        |    1020839 | PA      | $1021045.18   | 0.28%             | 2039-02-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347100 | PA      | $343804.23    | 0.09%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     833864 | PA      | $863327.05    | 0.24%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD IDR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3241.62     | -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      | $-4441.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                            | 1988 CLO 6 Ltd                                                                                                                         | CUSIP: 65444GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $882000.00    | 0.24%             | 2038-04-15      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9933624.00   | 2.74%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUUS202510220647 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -3738000 | OU      | $-3621.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                                                                               | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     500000 | PA      | $458230.00    | 0.13%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                     | Glencore Funding LLC                                                                                                                   | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     250000 | PA      | $224385.00    | 0.06%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CTCHAUSJP2025112014715 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |    5007000 | OU      | $67244.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                                                                          | CUSIP: 097023CE3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      25000 | PA      | $20243.75     | 0.01%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8000000 | PA      | $-6447500.00  | -1.78%            | 2055-10-01      | Fixed         | 2.00%                 | 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        |     750000 | PA      | $752566.99    | 0.21%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PTBNPEUUS2025100911615 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    6501000 | OU      | $5747.27      | 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      | $-2230.49     | -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      | $-61.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FQKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224939 | PA      | $224938.93    | 0.06%             | 2029-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED BRL / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |          1 | NC      | $6940.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                                                                            | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     225000 | PA      | $223049.25    | 0.06%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                         | SLG Office Trust 2021-OVA                                                                                                              | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $532965.31    | 0.15%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | PWMSIEUSG202510091512 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |   -1083000 | OU      | $-2395.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                                                                                     | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $667602.00    | 0.18%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                            | VTR Commercial Mortgage Trust 2025-STEM                                                                                                | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $850000.00    | 0.23%             | 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        |      74664 | PA      | $7143.87      | 0.00%             | 2044-11-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $8629.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2023-C7 Mortgage Trust                                                                                                             | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $969224.97    | 0.27%             | 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        |    1211000 | PA      | $1242800.86   | 0.34%             | 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        |   60360000 | OU      | $-213364.59   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: SX003205  CDS USD R F  1.00000 2 CCPCDX / Short: SX003205  CDS USD P V 03MEVENT 1 CCPCDX                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   23000000 | OU      | $524420.70    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                          | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                               | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $149175.64    | 0.04%             | 2042-04-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                        | Hyatt Hotels Corp                                                                                                                      | CUSIP: 448579AS1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     630000 | PA      | $644987.70    | 0.18%             | 2034-06-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-5753.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-30049.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $994690.50    | 0.27%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                                         | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825000 | PA      | $742759.92    | 0.20%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-12743.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09654A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2110000 | NC      | $-9593.88     | -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      | $-3912.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                                                                          | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     550000 | PA      | $520767.50    | 0.14%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $185.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $16091.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329433 | PA      | $317153.96    | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD SEK                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $1509.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $15322266.00  | 4.23%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                          | Bridgepoint Clo IX DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 635400KHJOULRBQMED20 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $704430.40    | 0.19%             | 2039-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                 | Snap Inc                                                                                                                               | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     629000 | PA      | $637460.05    | 0.18%             | 2034-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $7864.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                   | Home Equity Loan Trust                                                                                                                 | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     296422 | PA      | $289539.17    | 0.08%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6820000 | PA      | $6797621.88   | 1.87%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L                                 | Amneal Pharmaceuticals LLC                                                                                                             | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |     234000 | PA      | $242208.72    | 0.07%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                    | Vale Overseas Ltd                                                                                                                      | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $205256.00    | 0.06%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296LKE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $223.97       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-3241.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94645.00     | 0.03%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD PLN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3406.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITUSCA202510011372 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1257000 | OU      | $-17523.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2022-BNK44                                                                                                                        | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $533062.82    | 0.15%             | 2055-11-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | OPS09587A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    3620000 | NC      | $6452.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                        | Chord Energy Corp                                                                                                                      | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     440000 | PA      | $436858.40    | 0.12%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                     | OneMain Finance Corp                                                                                                                   | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     260000 | PA      | $272019.80    | 0.08%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32768 | PA      | $31645.77     | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2838.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-9564.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards                                             | Hudson Yards 2025-SPRL Mortgage Trust                                                                                                  | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375000 | PA      | $389974.55    | 0.11%             | 2040-01-13      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                                                                             | CUSIP: 458140CL2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     159000 | PA      | $161416.80    | 0.04%             | 2034-02-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-335.21      | -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      | $-14599.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2025-5C11 Mortgage Trust                                                                                                           | CUSIP: 096941AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $680731.10    | 0.19%             | 2058-07-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                 | RHP Hotel Properties LP / RHP Finance Corp                                                                                             | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              |  | US        |     110000 | PA      | $113274.70    | 0.03%             | 2033-06-15      | Fixed         | 6.50%                 | 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        |    3710000 | OU      | $-21669.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $2661.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITUSSG202510211282 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |   -1271000 | OU      | $-2456.84     | -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      | $9091.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAEUSE202510071099 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1085000 | OU      | $-7965.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                      | BWAY 2013-1515 Mortgage Trust                                                                                                          | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650274 | PA      | $621624.44    | 0.17%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $49.14        | 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      | $27079.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                           | KIND Commercial Mortgage Trust 2024-1                                                                                                  | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $476993.60    | 0.13%             | 2041-08-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3529.69      | 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      | $-8458.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2271.35      | 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      | $567.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2024-5C6 Mortgage Trust                                                                                                            | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $308572.62    | 0.09%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                   | Marriott International Inc/MD                                                                                                          | CUSIP: 571903BP7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     221000 | PA      | $225150.38    | 0.06%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-3698.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                  | Dell International LLC / EMC Corp                                                                                                      | CUSIP: 24703TAD8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     268000 | PA      | $269999.28    | 0.07%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR246943  IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BR246943  IRS CZK P F  4.00000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6660000 | OU      | $5726.26      | 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      | $-3827.13     | -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      | $5713.29      | 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        |    4210000 | OU      | $-20264.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6791.15      | 0.00%             |  |  |  | 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        |    1620000 | OU      | $10850.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                                                                             | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1939445.00   | 0.53%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1254.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | CWCITUSCN202511147105 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |   -5112000 | OU      | $-20514.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                          | Hillenbrand Inc                                                                                                                        | CUSIP: 431571AF5<br>LEI: U246OE781574J2BUD366 | Long             | DBT              | CORP              | US        |     169000 | PA      | $173319.64    | 0.05%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-3023.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | OPS09659A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2230000 | NC      | $-16276.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHUBB CORP                                               | Chubb Corp/The                                                                                                                         | CUSIP: 171232AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     342000 | PA      | $384695.28    | 0.11%             | 2031-11-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38380YR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286346 | PA      | $35102.79     | 0.01%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1640.25      | 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      | $-2506.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                   | OPS09631A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -2060000 | NC      | $-12481.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-8085.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138YDZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11483 | PA      | $10735.29     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-79341.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $12.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $1184.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                           | Morgan Stanley                                                                                                                         | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     174000 | PA      | $173625.90    | 0.05%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150264 | PA      | $145001.96    | 0.04%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CHF / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |          1 | NC      | $-1221.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-15119.21    | -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      | $-1112.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                                  | Romanian Government International Bond                                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      80000 | PA      | $58790.82     | 0.02%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $11902.19     | 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      | $-45929.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | CTDEUUSCO202511243957 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |    2545000 | OU      | $42165.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6162.91      | 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      | $24247.21     | 0.01%             |  |  |  | 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        |    7230000 | OU      | $115127.63    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1784419 | PA      | $1596750.86   | 0.44%             | 2050-11-01      | Fixed         | 3.00%                 | 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        |    3030000 | OU      | $-26963.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38379MVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96369 | PA      | $12141.26     | 0.00%             | 2045-08-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $-1254.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PWCITNZUS20251020059 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |  -12927000 | OU      | $-141682.20   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITEUUS202511031173 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    6467000 | OU      | $49564.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $78.86        | 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      | $812.85       | 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      | $-987.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | OPS09614A SWAPTION USD OTC                                                                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -2190000 | NC      | $-32628.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC/FIN                                  | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc                                                                                  | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15000 | PA      | $15504.00     | 0.00%             | 2032-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INSULET CORPORATION                                      | Insulet Corp                                                                                                                           | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      45000 | PA      | $46777.95     | 0.01%             | 2033-04-01      | Fixed         | 6.50%                 | 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        |    3780000 | OU      | $8852.86      | 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        |   21660000 | OU      | $-102632.68   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                                                                                    | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     525000 | PA      | $496324.50    | 0.14%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-11339.29    | -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      | $-978.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                                                                            | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     675000 | PA      | $678462.75    | 0.19%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CHF                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $436.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95094 | PA      | $13250.13     | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD JPY                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1604.62      | 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        |   83620000 | OU      | $137128.44    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUCH202510150934 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |   -1087000 | OU      | $-3741.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                              | PRKCM 2021-AFC2 Trust                                                                                                                  | CUSIP: 69361JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625000 | PA      | $464909.88    | 0.13%             | 2056-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD TWD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $29221.34     | 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      | $459.31       | 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      | $3724.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140J7R98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153700 | PA      | $148115.45    | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $-1188.57     | -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      | $12284.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUNZ202510211123 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1922000 | OU      | $-779.61      | -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      | $396.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR243152  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243152  IRS EUR P F  2.25000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     830000 | OU      | $7476.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | SUNOCO LP                                                                                                                              | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     165000 | PA      | $167927.10    | 0.05%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CWBNPEUCH2025101009315 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-4875.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VFH PARENT / VALOR CO                                    | VFH Parent LLC / Valor Co-Issuer Inc                                                                                                   | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     460000 | PA      | $475764.20    | 0.13%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                      | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     425000 | PA      | $421617.00    | 0.12%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                  | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                                  | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     375000 | PA      | $341664.79    | 0.09%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SEK / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |          1 | NC      | $-163.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | CWCHAUSCN202510217104 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1271000 | OU      | $-4940.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                 | Occidental Petroleum Corp                                                                                                              | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     278000 | PA      | $316263.92    | 0.09%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-350.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                                                                                 | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     420000 | PA      | $457275.00    | 0.13%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                           | Solventum Corp                                                                                                                         | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     272000 | PA      | $280717.60    | 0.08%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                 | Eagle Funding Luxco Sarl                                                                                                               | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    1060000 | PA      | $1076430.00   | 0.30%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      15000 | PA      | $13849.22     | 0.00%             | 2054-08-15      | 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        |     197743 | PA      | $24006.88     | 0.01%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD GBP                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $793.08       | 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      | $-535.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                                                                                     | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      75000 | PA      | $68752.50     | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1937.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                       | Crown Americas LLC                                                                                                                     | CUSIP: 228180AC9<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     370000 | PA      | $373877.60    | 0.10%             | 2033-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                                                                              | CUSIP: 3128QJ4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9502 | PA      | $9766.17      | 0.00%             | 2035-09-01      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                               | DOLP Trust 2021-NYC                                                                                                                    | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $982435.21    | 0.27%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | PWBNPEUCH2025101009315 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -1085000 | OU      | $-1710.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI INC                                                 | MSCI Inc                                                                                                                               | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     760000 | PA      | $728270.00    | 0.20%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED GBP / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |          1 | NC      | $-2392.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PWBARNZUS2025093005815 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |   -6389000 | OU      | $-10982.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $13512.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                          | CSL Finance PLC                                                                                                                        | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $99621.00     | 0.03%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2024-277P Mortgage Trust                                                                                                          | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $922014.97    | 0.25%             | 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        |      93149 | PA      | $4993.97      | 0.00%             | 2043-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ILS                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-10310.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1496286 | PA      | $1461406.30   | 0.40%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD INR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $2238.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29761 | PA      | $32398.09     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                                                                           | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      90000 | PA      | $93015.00     | 0.03%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1397.09      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAAUNZ202510231125 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1928000 | OU      | $-1187.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD SGD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $67.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-312.34      | -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      | $-6488.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1077.84      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $409.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216979 | PA      | $214667.50    | 0.06%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $48.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246922  IRS ZAR R F  8.50000 2 CCPVANILLA / Short: SR246922  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    4590000 | OU      | $5991.77      | 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        |    1050000 | PA      | $1071159.27   | 0.30%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $252018.88    | 0.07%             | 2044-03-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                 | Baxter International Inc                                                                                                               | CUSIP: 071813CL1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     179000 | PA      | $173576.30    | 0.05%             | 2027-02-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2017-C39                                                                                         | CUSIP: 95000XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $1098443.87   | 0.30%             | 2050-09-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR ULTRA FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -248 | NC      | $-279521.46   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837601 | PA      | $829988.43    | 0.23%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: SR246946  IRS ZAR R F  7.25000 2 CCPVANILLA / Short: SR246946  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    6850000 | OU      | $1968.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110895 | PA      | $106899.99    | 0.03%             | 2048-02-01      | Fixed         | 4.00%                 | 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        |    5170000 | OU      | $-40739.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                 | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   86623690 | OU      | $-99829.31    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                  | Hyundai Auto Lease Securitization Trust 2024-B                                                                                         | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1107907.97   | 0.31%             | 2027-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W0FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8182 | PA      | $7569.86      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                              | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538630 | PA      | $544511.65    | 0.15%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                       | Alternative Loan Trust 2006-OC8                                                                                                        | CUSIP: 232434AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     947347 | PA      | $843120.21    | 0.23%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CAD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $363.57       | 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      | $-4766.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP Paribas SA                                                                                                                         | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     725000 | PA      | $718453.25    | 0.20%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2024-XL5                                                                                                  | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405093 | PA      | $405076.89    | 0.11%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13433 | PA      | $13449.34     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $11462.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7348897 | PA      | $5970192.77   | 1.65%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED KRW / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KR        |          1 | NC      | $-9548.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -14000000 | PA      | $-13578906.60 | -3.74%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED MXN / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |          1 | NC      | $1314.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2527265.70   | 0.70%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | OPS09568A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -1940000 | NC      | $-4013.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                    | Qnity Electronics Inc                                                                                                                  | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |     120000 | PA      | $121042.80    | 0.03%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $3834.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                   | CWMSIEUSG202510091512 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |   -1083000 | OU      | $-3986.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                                                                        | CUSIP: 3138XZSV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245980 | PA      | $223511.64    | 0.06%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD NZD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $13954.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2024-5C29                                                                                                         | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $718361.43    | 0.20%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED EUR / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |          1 | NC      | $743.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD CNH                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $1008.90      | 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      | $-379.66      | -0.00%            |  |  |  | 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        |   14290000 | OU      | $11632.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208615 | PA      | $21423.59     | 0.01%             | 2044-03-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR233890  IRS BRL R F 13.25000 2 CCPNDFPREDISWAP / Short: SR233890  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    8100000 | OU      | $-3104.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                   | Venture Global LNG Inc                                                                                                                 | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     270000 | PA      | $283535.10    | 0.08%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-67378.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | CWBNPEUGB202510290874 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |   -1090000 | OU      | $-6428.01     | -0.00%            |  |  |  | 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        |    7470000 | OU      | $69905.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                       | Ingersoll Rand Inc                                                                                                                     | CUSIP: 45687VAE6<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     177000 | PA      | $185163.24    | 0.05%             | 2031-06-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | CWBOAEUSE2025100610995 GOLDMAN                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -1082000 | OU      | $-7242.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $971.52       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED CNH / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CN        |          1 | NC      | $5833.49      | 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      | $3300.92      | 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        |    9640000 | OU      | $6618.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                                                                           | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2025000 | PA      | $2025668.25   | 0.56%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31296NDL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $675.11       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                               | Aurium Clo VIII DAC                                                                                                                    | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $704430.40    | 0.19%             | 2038-10-16      | Floating      | 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      | $83658.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Fannie Mae Connecticut Avenue Securities                                                                                               | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225000 | PA      | $226859.49    | 0.06%             | 2044-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD KRW                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4307.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M7EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17009 | PA      | $17365.19     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED NZD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |          1 | NC      | $-1453.78     | -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      | $-10026.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96988 | PA      | $98248.39     | 0.03%             | 2048-08-20      | Fixed         | 5.00%                 | 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        |    6000000 | OU      | $-395322.82   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Connecticut Avenue Securities Series 2025-R01                                                                                          | CUSIP: 20755JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $348651.91    | 0.10%             | 2045-01-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $10908476.70  | 3.01%             | 2048-10-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                      | CommonSpirit Health                                                                                                                    | CUSIP: 20268JAM5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     610000 | PA      | $665910.65    | 0.18%             | 2052-11-01      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-483.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $839710.89    | 0.23%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                               | Atkore Inc                                                                                                                             | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |      15000 | PA      | $13994.10     | 0.00%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                             | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                                                                                  | CUSIP: 02765UEQ3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     230000 | PA      | $240034.65    | 0.07%             | 2050-02-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                        | PTBARNZUS202510170588 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |    8650000 | OU      | $80317.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAUSSG20251029129 GOLDMAN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1273000 | OU      | $-7170.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                                                                               | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67636 | PA      | $7833.93      | 0.00%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAAUUS202510290644 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | LU        |   -3774000 | OU      | $-3993.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | PWCHAEUSE202510141094 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | LU        |   -1089000 | OU      | $-836.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                            | Carnival Corp                                                                                                                          | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1050000 | PA      | $1076764.50   | 0.30%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                 | Builders FirstSource Inc                                                                                                               | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     395000 | PA      | $413138.40    | 0.11%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED SGD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SG        |          1 | NC      | $3259.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $6197.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2025-1                                                                                                      | CUSIP: 92540TAL4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    1151905 | PA      | $1161308.95   | 0.32%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-BUXL 30Y BND DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -1 | NC      | $-1927.12     | -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      | $3069.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                 | USA Compression Partners LP / USA Compression Finance Corp                                                                             | CUSIP: 91740PAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185000 | PA      | $185710.40    | 0.05%             | 2033-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $3873.81      | 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      | $3549.61      | 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      | $173.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     287101 | PA      | $278386.97    | 0.08%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324952 | PA      | $41103.21     | 0.01%             | 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        |     950000 | PA      | $983850.69    | 0.27%             | 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        |   15290000 | OU      | $-20214.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                        | Expedia Group Inc                                                                                                                      | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     260000 | PA      | $261939.60    | 0.07%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931139 | PA      | $919661.44    | 0.25%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD AUD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-12635.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                       | PWBOAEUUS202510241168 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |   -6534000 | OU      | $-29480.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6000000 | PA      | $-5269921.80  | -1.45%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                           | OPS08401A SWAPTION EUR OTC                                                                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    2390000 | NC      | $7684.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560636 | PA      | $559381.41    | 0.15%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                              | PTCITEUUS202510301165 GOLDMAN                                                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | LU        |    4332000 | OU      | $18838.50     | 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      | $545.12       | 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        |      19480 | PA      | $19239.96     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                   | Match Group Holdings II LLC                                                                                                            | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     550000 | PA      | $555186.50    | 0.15%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | Long: SR247177  IRS MXN R F  8.00000 2 CCPOIS / Short: SR247177  IRS MXN P V 00MTIEF 1 CCPOIS                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    7370000 | OU      | $5121.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2023-HE3                                                                                                      | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |     149332 | PA      | $150030.66    | 0.04%             | 2054-05-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                      | Carrier Global Corp                                                                                                                    | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $367244.00    | 0.10%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                | Towd Point Mortgage Trust 2017-3                                                                                                       | CUSIP: 89169DAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90407.92     | 0.02%             | 2057-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-19353.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD MXN                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-1321.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                     | Keurig Dr Pepper Inc                                                                                                                   | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     925000 | PA      | $815748.25    | 0.22%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD ZAR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $-27843.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                                      | Travel + Leisure Co 2024 Term Loan B                                                                                                   | CUSIP: 98309GAF3<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | LON              | CORP              | US        |     666579 | PA      | $667999.23    | 0.18%             | 2029-12-14      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2024-VLT5                                                                                                 | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $458242.88    | 0.13%             | 2046-11-13      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12020000 | PA      | $12404076.62  | 3.42%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED AUD / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |          1 | NC      | $4252.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED USD / SOLD EUR                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |          1 | NC      | $4819.01      | 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      | $-1919.88     | -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      | $-960.73      | -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      | $-1728.19     | -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      | $-3539.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CUBESMART LP                                             | CubeSmart LP                                                                                                                           | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |      90000 | PA      | $79434.90     | 0.02%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                 | PURCHASED JPY / SOLD USD                                                                                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |          1 | NC      | $-2999.77     | -0.00%            |  |  |  | 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