# EDGAR Filing Document

**Accession Number:** 0000875186
**File Stem:** 0001003715-26-001538
**Filing Date:** 2026-4
**Character Count:** 345699
**Document Hash:** ff0846744115d52cdce11e66eb40c7f8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001003715-26-001538.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001003715-26-001538

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY PATHWAY FUNDS
- **CENTRAL INDEX KEY:** 0000875186

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06318
- **FILM NUMBER:** 26897377

**BUSINESS ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577
- **BUSINESS PHONE:** 8883749999

**MAIL ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CONSULTING GROUP CAPITAL MARKETS FUNDS
- **DATE OF NAME CHANGE:** 19950125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUST FOR TRAK INVESTMENTS
- **DATE OF NAME CHANGE:** 19920929

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSTITUTIONAL ADVISORS PORTFOLIOS
- **DATE OF NAME CHANGE:** 19600201

## Series and Classes Contracts Data

### International Fixed Income Fund (Series ID: S000008439)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000023147 | International Fixed Income Fund | TIFUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY PATHWAY FUNDS

- **b. Investment Company Act file number:** 811-06318

- **c. CIK number of Registrant:** 0000875186

- **d. LEI of Registrant:** 549300P3RUTI9W6SLI87

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

  - **Street Address 1:** 2000 Westchester Avenue

  - **City:** Purchase

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10577

  - **Telephone number:** 888-454-3965

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

- **a. Name of Series:** International Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000008439

- **c. LEI of Series:** Q50Z4ID12W7DFFPENU57

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $345117699.42

**Total Liabilities:** $149809067.21

**Net Assets:** $195308632.21

**Cash Not Reported:** $9254546.46

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -440.57900685 | **1-Year:** -7824.41600663 | **5-Year:** -18585.76808631 | **10-Year:** -22692.36265405 | **30-Year:** -4511.44118941

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

- **3-Month:** -14.86442166 | **1-Year:** -334.11085436 | **5-Year:** -1355.96116267 | **10-Year:** -1510.78490731 | **30-Year:** -31.91131327

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023147 | 0.05%                | 0.29%                | 1.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $51569.93                | $208537.62                                 |
| Month 2  | $225671.19               | $762061.54                                 |
| Month 3  | $-54440.09               | $1762538.42                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** SEC_PORT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABU DHABI DEVELO 4.5% 05/06/30       | ABU DHABI DEVELOPMENT HO REGD 144A P/P MTN 4.50000000                                            | CUSIP: 00402AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |     200000 | PA      | $202908.50    | 0.10%             | 2030-05-06      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| ABU DHABI DEVE 4.375% 10/02/31       | ABU DHABI DEVELOPMENT HO REGD 144A P/P 4.37500000                                                | CUSIP: 00402D2C8<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |     500000 | PA      | $502219.75    | 0.26%             | 2031-10-02      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ACE 2005-HE5 M4 V/R 08/25/35         | ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2005-HE5 CL M4 V/R REGD 4.68821000          | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     236734 | PA      | $238556.53    | 0.12%             | 2035-08-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION DISC 03/09/2026         | ALIMENTATION DISC 03/09/2026 0.00000000                                                          | CUSIP: 01626VC92<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |     250000 | PA      | $249786.11    | 0.13%             | 2026-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALMNTATION C-T DISC 03/10/26         | ALMNTATION C-T DISC 03/10/26 0.00000000                                                          | CUSIP: 01626VCA9<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     300000 | PA      | $299711.25    | 0.15%             | 2026-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 15YR 2% MAR26               | FNMA TBA 15YR 2% MAR26         TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020430<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -2100000 | PA      | $-1956117.49  | -1.00%            | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 2% MAR 26              | UMBS TBA 30YR 2% MAR 26        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020638<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -18050000 | PA      | $-14962342.81 | -7.66%            | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 2.5% MAR26             | FNMA 30YR TBA 2.5% MAR26      TO BE ANNOUNCED 2.50000000                                         | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -700000 | PA      | $-606668.76   | -0.31%            | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 3.0% APR 26            | FNMA 30YR TBA 3.0% APR 26       TO BE ANNOUNCED 3.00000000                                       | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1900000 | PA      | $-1718004.30  | -0.88%            | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 3.5% APR 26            | FNCL 30YR TBA 3.5% APR 26      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1500000 | PA      | $-1413531.53  | -0.72%            | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 4.0% MARCH 26          | FNCL 30YR TBA 4.0% MARCH 26    TO BE ANNOUNCED 4.00000000                                        | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     344000 | PA      | $334480.26    | 0.17%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% MAR 26            | FNMA 30YR TBA 4.5% MAR 26      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3637000 | PA      | $3597951.79   | 1.84%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% APR 26              | FNMA 30YR TBA 5% APR 26 TO BE ANNOUNCED 5.00000000                                               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   30960000 | PA      | $31070426.27  | 15.91%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5.5% APR 26            | FNMA 30YR TBA 5.5% APR 26 TO BE ANNOUNCED 5.50000000                                             | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     240000 | PA      | $243650.72    | 0.12%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% MAR 26              | FNMA 30YR TBA 6% MAR 26        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -9765000 | PA      | $-10017683.63 | -5.13%            | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% MAR 26            | FNMA 30YR TBA 6.5% MAR 26      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -3600000 | PA      | $-3739644.58  | -1.91%            | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% APR 26            | FNMA 30YR TBA 6.5% APR 26      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10100000 | PA      | $10496120.49  | 5.37%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWALT 2007-7T2 A9 6% 04/25/37        | ALTERNATIVE LOAN TRUST 2007-7T2 SER 2007-7T2 CL A9 REGD 6.00000000                               | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      24901 | PA      | $10173.97     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWALT 2007-11T V/R 05/25/37          | CWALT 2007-11T V/R 05/25/37 4.13821000                                                           | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      32787 | PA      | $10260.03     | 0.01%             | 2037-05-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CWALT 2007-16C 6.25% 08/25/37        | ALTERNATIVE LOAN TRUST 2007-16CB SER 2007-16CB CL 5A1 REGD 6.25000000                            | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      16428 | PA      | $7338.32      | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMETEK INC DISC 03/09/2026           | AMETEK INC DISC 03/09/2026 0.00000000                                                            | CUSIP: 03111CC92<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     500000 | PA      | $499570.00    | 0.26%             | 2026-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ARCLO 2022-FL1 A V/R 12/15/26        | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 20 SER 2022-FL1 CL A V/R REGD 144A P/P 5.10819000      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     128913 | PA      | $128930.32    | 0.07%             | 2037-01-15      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| ARSI 2005-W1 A1 V/R 05/25/35         | ARGENT MORTGAGE LOAN TRUST 2005-W1 SER 2005-W1 CL A1 V/R REGD 4.26821000                         | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     287248 | PA      | $267416.34    | 0.14%             | 2035-05-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL  5.516% 03/25/27       | ATHENE GLOBAL FUNDING REGD 144A P/P 5.51600000                                                   | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304596.26    | 0.16%             | 2027-03-25      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUN V/R 07/16/26       | ATHENE GLOBAL FUNDING REGD V/R 144A P/P 4.43101700                                               | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     500000 | PA      | $500668.94    | 0.26%             | 2026-07-16      | Variable      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA V/R 10/19/27                 | BPCE SA REGD V/R 144A P/P 6.61200000                                                             | CUSIP: 05571AAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     400000 | PA      | $406462.90    | 0.21%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| BAFC 2006 A 1A1 V/R 2/20/36          | BANC OF AMERICA FUNDING CORPORATION SEREIS 2006 A CLASS 1A1 5.71192000                           | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       4097 | PA      | $3933.38      | 0.00%             | 2036-02-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/06/37       | BANK OF AMERICA CORP REGD V/R 5.04500000                                                         | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304435.88    | 0.16%             | 2037-02-06      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/31       | BANK OF AMERICA CORP REGD V/R MTN 1.89800000                                                     | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     700000 | PA      | $636044.59    | 0.33%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/25/29       | BANK OF AMERICA CORP REGD V/R 5.20200000                                                         | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     500000 | PA      | $512400.23    | 0.26%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/24/36       | BANK OF AMERICA CORP REGD V/R 5.51100000                                                         | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $630007.67    | 0.32%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/13/27            | BARCLAYS PLC REGD V/R 6.49600000                                                                 | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $810307.94    | 0.41%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BFAT 2007-SR1A V/R 03/25/37          | BFAT 2007-SR1A V/R 03/25/37 4.23821000                                                           | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     115243 | PA      | $116432.32    | 0.06%             | 2037-03-25      | Variable      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| BDS 2021-FL10 A V/R 12/16/36         | BDS 2021-FL10 LTD SER 2021-FL10 CL A V/R REGD 144A P/P 5.13051000                                | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      83447 | PA      | $83456.36     | 0.04%             | 2036-12-16      | Variable      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| BSARM 2004-2 22A V/R 05/25/34        | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 22A V/R REGD 6.81130000                              | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       4233 | PA      | $4157.71      | 0.00%             | 2034-05-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| BSARM 2004-2 23A V/R 05/25/34        | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 23A V/R REGD 3.99997000                              | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1422 | PA      | $1308.32      | 0.00%             | 2034-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-5 1A2 V/R 08/25/33        | BEAR STEARNS ARM TRUST 2003-5 SER 2003-5 CL 1A2 V/R REGD 5.01319000                              | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1254 | PA      | $1236.44      | 0.00%             | 2033-08-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-7 6A V/R 10/25/33         | BEAR STEARNS ARM TRUST 2003-7 SER 2003-7 CL 6A V/R REGD 5.71011000                               | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1183 | PA      | $1154.71      | 0.00%             | 2033-10-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BSSP 2007-R6 V/R 1/26/36             | BSSP 2007-R6 V/R 1/26/36 4.89567000                                                              | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      24654 | PA      | $17798.68     | 0.01%             | 2036-01-26      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINS DISC 03/12/26         | BECTON DICKINS DISC 03/12/26 0.00000000                                                          | CUSIP: 07588MCC8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     250000 | PA      | $249705.90    | 0.13%             | 2026-03-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVEST 6.581% 05/30/49       | BEIGNET INVESTOR LLC REGD 144A P/P 6.58100000                                                    | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1912628.20   | 0.98%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| BLUEM 2016-3A A1 V/R 11/15/30        | BLUEMOUNTAIN CLO 2016-3 LTD SER 2016-3A CL A1R2 V/R REGD 144A P/P 4.85253000                     | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      65732 | PA      | $65786.62     | 0.03%             | 2030-11-15      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CWHL 2007-19 2A 6.5% 11/25/47        | CHL MORTGAGE PASS-THROUGH TRUST 2007-19 SER 2007-19 CL 2A1 REGD 6.50000000                       | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      91937 | PA      | $44629.13     | 0.02%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWHL 2007-4 1A47 6% 05/25/37         | CHL MORTGAGE PASS-THROUGH TRUST 2007-4 SER 2007-4 CL 1A47 REGD 6.00000000                        | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     490325 | PA      | $197744.00    | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC 2017-4A A1R V/R 10/24/30        | CIFC FUNDING 2017-IV LTD SER 2017-4A CL A1R V/R REGD 144A P/P 4.87963000                         | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       4511 | PA      | $4513.41      | 0.00%             | 2030-10-24      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CSAB 2006-4 A6A S/UP 12/25/36        | CSAB MORTGAGE-BACKED TRUST 2006-4 SER 2006-4 CL A6A S/UP REGD 6.18370000                         | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     120493 | PA      | $16784.31     | 0.01%             | 2036-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| CSMC 2007-5R A5 6.5% 07/26/36        | CSMC TRUST 2007-5R SER 2007-5R CL A5 REGD 6.50000000                                             | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      34401 | PA      | $7169.31      | 0.00%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 A V/R 07/25/56        | CSMC 2021-INV1TRUST SER 2021-INV1 CL A3 V/R REGD 144A P/P 2.50000000                             | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      66423 | PA      | $57063.11     | 0.03%             | 2056-07-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CWHL 2005-HYB9 3 V/R 02/20/36        | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 3A2A V/R REGD 6.22417000              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       3918 | PA      | $3519.17      | 0.00%             | 2036-02-20      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-21C 5.25% 06/25/35        | ALTERNATIVE LOAN TRUST 2005-21CB SER 2005-21CB CL A3 REGD 5.25000000                             | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2672 | PA      | $1999.32      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CWL 2007-12 1A1 V/R 06/25/37         | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2007-12 SER 2007-12 CL 1A1 V/R REGD 4.52821000        | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      29736 | PA      | $29582.23     | 0.02%             | 2047-08-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| CWL 2007-13 1A V/R 06/25/36          | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 1A V/R REGD 4.62821000              | CUSIP: 126698AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     211074 | PA      | $207574.37    | 0.11%             | 2047-10-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-2 1A1 V/R 03/25/35         | CHL MORTGAGE PASS-THROUGH TRUST 2005-2 SER 2005-2 CL 1A1 V/R REGD 4.42821000                     | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      33956 | PA      | $31860.86     | 0.02%             | 2035-03-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-3 2A1 V/R 4/25/35          | CWHL 2005-3 2A1 V/R 4/25/35 4.36821000                                                           | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        395 | PA      | $389.30       | 0.00%             | 2035-04-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-11 3A1 V/R 04/25/35        | CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A1 V/R REGD 3.63555000                   | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      10729 | PA      | $7304.53      | 0.00%             | 2035-04-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-9 1A3 V/R 05/25/35         | CHL MORTGAGE PASS-THROUGH TRUST 2005-9 SER 2005-9 CL 1A3 V/R REGD 4.24821000                     | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      31911 | PA      | $28580.65     | 0.01%             | 2035-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CWL 2007-9 2A4 V/R 02/25/36          | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-8 SER 2007-9 CL 2A4 V/R REGD 4.03821000               | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     183307 | PA      | $180267.62    | 0.09%             | 2036-02-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                  | DKK/USD FWD 20260401 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-111353.48   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260402 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-271433.83   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260402 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-59507.25    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | HKD/USD FWD 20260302 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $946.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | HKD/USD FWD 20260302 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7536.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260311 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $825.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CZK/EUR FWD 20260313 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1398.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CZK/EUR FWD 20260313 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1278.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260326 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1645.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260318 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4153.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260318 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4601.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260406 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7637.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260318 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-34.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260318 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3167.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260416 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1221.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NGN/USD FWD 20261021 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6904.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260520 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $222.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-595.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260303 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $267941.83    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260304 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $455.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260302 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10124.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4516.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260318 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5707.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-562.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $20407.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260312 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1585.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260303 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2520.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260304 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5268.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MYR/USD FWD 20260318 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12317.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260603 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-660.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-150.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260318 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9018.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260604 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1187.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-30.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260318 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $314.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260316 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10009.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260309 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4967.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260305 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-85.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $34.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260309 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11180.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260409 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3265.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260311 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $419.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260410 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9131.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260413 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7463.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1474.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260318 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6294.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260415 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12339.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260318 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5771.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260316 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5933.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260417 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4343.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260323 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2617.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260420 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4865.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | HUF/USD FWD 20260318 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260326 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2746.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260318 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-299.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260507 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1431.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260309 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1466.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1461.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260507 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $362.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260408 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3284.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3390.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $741.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260407 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-321.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-28131.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2295.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260513 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5942.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3877.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260415 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1204.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-254.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260304 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1392.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260406 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1169.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260420 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $27.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260422 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2364.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260318 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-74.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260420 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $18.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260316 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3857.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PLN/USD FWD 20260422 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6343.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260420 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $65670.33     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260716 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2947.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260320 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1883.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260313 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $339.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260318 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1286.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260720 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $426.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260420 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11043.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20270120 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16804.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260720 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-180.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260313 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $71.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260520 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $63.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20270122 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $50947.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260422 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-36219.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260324 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $380.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260723 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1193.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260423 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-18328.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20270125 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $25387.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260617 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4752.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1106.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1080.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3071.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260407 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22275.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260323 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $326.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260519 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $838.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $349773.32    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260323 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $105.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260521 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $210.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260407 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260617 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4098.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-173049.23   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3713.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7834.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260526 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $894.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39747.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $312173.44    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260318 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $732.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260407 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $137.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260305 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $440.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260610 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $760.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260610 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-558.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | DKK/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-17724.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $213.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260327 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $442.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10073.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $15818.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NOK/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-315.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260430 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1065.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6026.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1786.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260429 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-227.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22599.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-24333.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KZT/USD FWD 20260729 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $365.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9500.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-57095.43    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260327 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $168.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-535.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260803 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-431.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260803 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-638.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260617 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-37.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260617 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1402.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2564.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260303 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3515.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3091.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5768.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $895.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1841.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260303 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $11284.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-53189.08    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260610 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $57.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260406 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2497.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NOK/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1416.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4485.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4481.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260504 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-47178.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20270203 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $65744.54     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260413 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3400.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260601 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5014.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260305 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-202.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260305 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1991.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260305 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $81.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260305 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-48.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260305 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-630.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260406 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3552.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260406 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1568.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260409 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $17.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260617 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1341.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NGN/USD FWD 20270208 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-326.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EGP/USD FWD 20260810 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-475.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260413 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2014.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260402 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $811.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260617 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12298.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260410 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1016.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260603 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7455.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260617 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2073.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260303 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-833.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260610 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1121.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260617 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4760.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260617 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2102.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260610 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2945.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260617 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2850.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260309 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2575.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260605 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1261.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260610 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1437.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260617 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1798.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260312 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-82.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | INR/USD FWD 20260312 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-284.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260312 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-479.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260312 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-389.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | COP/USD FWD 20260316 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5308.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CZK/EUR FWD 20260309 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $625.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CZK/EUR FWD 20260812 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-340.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260312 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-721.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CZK/USD FWD 20260311 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1497.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | HUF/USD FWD 20260318 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $35.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260408 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $149.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260408 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260303 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-500.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | USD/ZAR FWD 20260320 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-14584.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260421 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-60.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260617 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $620.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | PEN/USD FWD 20260319 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $553.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | USD/ZAR FWD 20260320 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1973.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260610 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $64.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | HKD/USD FWD 20260320 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-67.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260304 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-312.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260420 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2924.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/RON FWD 20260422 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $225.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SGD/USD FWD 20260402 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3626.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260319 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-210.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IDR/USD FWD 20260325 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $440.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260324 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $118.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260420 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $0.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | KRW/USD FWD 20260318 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5013.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260420 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | USD/ZAR FWD 20260320 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-435.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | ILS/USD FWD 20260610 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $421.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | AUD/USD FWD 20260402 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8603.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6807.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260424 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $297.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | GBP/USD FWD 20260402 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $31537.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260428 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-700.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | BRL/USD FWD 20260402 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $31393.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260402 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6226.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260402 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2779.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260303 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1167.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | SEK/USD FWD 20260402 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1217.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260402 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4050.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CHF/USD FWD 20260303 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3747.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TWD/USD FWD 20260331 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-54.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | THB/USD FWD 20260326 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-42.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | EUR/USD FWD 20260402 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2325.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260402 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2084.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NZD/USD FWD 20260402 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3623.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260611 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $63.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNY/USD FWD 20260304 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-143.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | DKK/USD FWD 20260303 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2711.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | DKK/USD FWD 20260407 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2926.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | NOK/USD FWD 20260407 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $292.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | JPY/USD FWD 20260402 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5125.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CAD/USD FWD 20260402 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11415.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRY/USD FWD 20260421 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-246.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260402 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11118.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6893.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-104.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260917 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | MXN/USD FWD 20260917 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260303 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3286.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CNH/USD FWD 20260402 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2975.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVE 3% 06/01/34/CAD/       | CANADIAN GOVERNMENT /CAD/ REGD 3.00000000                                                        | CUSIP: 135087R48<br>LEI: N/A                  | Long             | DBT              | USGA              | CA        |    2100000 | PA      | $1538118.01   | 0.79%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPER 4.876% 01/14/30       | CANADIAN IMPERIAL BANK REGD 144A P/P 4.87600000                                                  | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $834238.08    | 0.43%             | 2030-01-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| CGMS 2016-3A ARR V/R 07/20/34        | CARLYLE GLOBAL MARKET STRATEGIES CLO  SER 2016-3A CL ARRR V/R REGD 144A P/P 4.75763000           | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600411.00    | 0.31%             | 2034-07-20      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| CARVL 2018-1A AR V/R 07/16/31        | CARVAL CLO I LTD SER 2018-1A CL AR V/R REGD 144A P/P 4.90113000                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     268763 | PA      | $269199.62    | 0.14%             | 2031-07-16      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| CHASE 2025-RPL1  V/R 08/25/47        | CHASE HOME LENDING MORTGAGE TRUST 2025-RPL1 SER 2025-RPL1 CL A1A V/R REGD 144A P/P 3.37500000    | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     567047 | PA      | $521565.75    | 0.27%             | 2065-04-25      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF CHI 4.85% 01/22/29       | REPUBLIC OF CHILE REGD 4.85000000                                                                | CUSIP: 168863EB0<br>LEI: N/A                  | Long             | DBT              | USGA              | CL        |     200000 | PA      | $204750.00    | 0.10%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA TBA 30 UR 2.5% MAR 26           | GNMA TBA 30 UR 2.5% MAR 26     TO BE ANNOUNCED 2.50000000                                        | CUSIP: 21H022630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     300000 | PA      | $264782.15    | 0.14%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMAII 30YR TBA 3.5% MAR 26          | GNMAII JUMBO TBA 30YR 3.5%     MAR 26 TO BE ANNOUNCED 3.50000000                                 | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     700000 | PA      | $657890.63    | 0.34%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR TBA 6.5% APR 26           | GNMA 30 YR TBA 6.5% APR 26     TO BE ANNOUNCED 6.50000000                                        | CUSIP: 21H062644<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1800000 | PA      | $1868794.92   | 0.96%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/09/36       | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 5.86200000                                              | CUSIP: 22535WAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     800000 | PA      | $850613.11    | 0.44%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG 4.282% 01/09/28         | UBS GROUP AG REGD 144A P/P 4.28200000                                                            | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $250718.57    | 0.13%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/12/29            | UBS GROUP AG REGD V/R 144A P/P 3.86900000                                                        | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $249317.16    | 0.13%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG V/R 04/01/31            | UBS GROUP AG REGD V/R 144A P/P 4.19400000                                                        | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $299340.14    | 0.15%             | 2031-04-01      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| DBALT 2007-3 2A1 V/R 11/25/15        | DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES  SER 2007-3 CL 2A1 V/R REGD 5.28821000      | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     328218 | PA      | $260009.56    | 0.13%             | 2047-10-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/28        | DEUTSCHE BANK NY REGD V/R 144A 2.55200000                                                        | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $395067.37    | 0.20%             | 2028-01-07      | Variable      | 2.55%                 | Yes           |                  2 | On Loan: No      |
| DRSLF 2016-43A A V/R 04/20/34        | DRYDEN 43 SENIOR LOAN FUND SER 2016-43A CL AR3 V/R REGD 144A P/P 4.73763000                      | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600308.40    | 0.31%             | 2034-04-20      | Variable      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| DRSLF 2018-55A A V/R 04/15/31        | DRYDEN 55 CLO LTD SER 2018-55A CL A1 V/R REGD 144A P/P 4.95380000                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      61413 | PA      | $61476.62     | 0.03%             | 2031-04-15      | Variable      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| EAGLE FUNDING LU 5.5% 08/17/30       | EAGLE FUNDING LUXCO SARL REGD 144A P/P 5.50000000                                                | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | USGA              | LU        |    1000000 | PA      | $1021250.00   | 0.52%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| AWPT 2018-3A A1R V/R 01/25/35        | ELEVATION CLO 2021-15 LTD SER 2018-3A CL A1R2 V/R REGD 144A P/P 4.96802000                       | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500011.50    | 0.26%             | 2035-01-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| ELAT 2007-2 A1 V/R 05/25/37          | ELLINGTON LOAN ACQUISITION TRUST 2007-2 SER 2007-2 CL A1 V/R REGD 144A P/P 4.83821000            | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     240402 | PA      | $239937.87    | 0.12%             | 2037-05-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#SD4998 5% 09/01/53            | FREDDIE MAC POOL UMBS P#SD4998 5.00000000                                                        | CUSIP: 3132DSRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     531513 | PA      | $536315.01    | 0.27%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8307 5% 03/01/53            | FREDDIE MAC POOL UMBS P#SD8307 5.00000000                                                        | CUSIP: 3132DWGQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      72237 | PA      | $72963.39     | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8348 5% 08/01/53            | FREDDIE MAC POOL UMBS P#SD8348 5.00000000                                                        | CUSIP: 3132DWHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     807635 | PA      | $815098.04    | 0.42%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8384 6% 12/01/53            | FREDDIE MAC POOL UMBS P#SD8384 6.00000000                                                        | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     290481 | PA      | $298962.02    | 0.15%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8364 6.5% 09/01/53          | FREDDIE MAC POOL UMBS P#SD8364 6.50000000                                                        | CUSIP: 3132DWJH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     491702 | PA      | $510887.47    | 0.26%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8369 6.5% 10/01/53          | FREDDIE MAC POOL UMBS P#SD8369 6.50000000                                                        | CUSIP: 3132DWJN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2189012 | PA      | $2276828.95   | 1.17%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8463 6% 09/01/54            | FREDDIE MAC POOL UMBS P#SD8463 6.00000000                                                        | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1032880 | PA      | $1060930.70   | 0.54%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-35 A V/R 9/25/31              | FSPC T-35 A V/R 9/25/31 4.06169000                                                               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       4488 | PA      | $4498.00      | 0.00%             | 2031-09-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHR 2391 FJ V/R 04/15/28             | FREDDIE MAC REMICS SER 2391 CL FJ V/R 4.27267000                                                 | CUSIP: 31339LU24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1702 | PA      | $1702.79      | 0.00%             | 2028-04-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD8207 2% 03/01/52            | FREDDIE MAC POOL UMBS P#QD8207 2.00000000                                                        | CUSIP: 3133B6DL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      78443 | PA      | $65101.63     | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF0819 4.5% 10/01/52          | FREDDIE MAC POOL UMBS P#QF0819 4.50000000                                                        | CUSIP: 3133BM4C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     140360 | PA      | $139679.72    | 0.07%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF0820 4.5% 09/01/52          | FREDDIE MAC POOL UMBS P#QF0820 4.50000000                                                        | CUSIP: 3133BM4D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     602896 | PA      | $598930.78    | 0.31%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF1922 4.5% 10/01/52          | FREDDIE MAC POOL UMBS P#QF1922 4.50000000                                                        | CUSIP: 3133BPD39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     332045 | PA      | $330436.09    | 0.17%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF6516 6.5% 01/01/53          | FREDDIE MAC POOL UMBS P#QF6516 6.50000000                                                        | CUSIP: 3133BUGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     103089 | PA      | $107532.69    | 0.06%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF8822 6.5% 03/01/53          | FREDDIE MAC POOL UMBS P#QF8822 6.50000000                                                        | CUSIP: 3133BWYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     432601 | PA      | $450483.14    | 0.23%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QH5912 6.5% 11/01/53          | FREDDIE MAC POOL UMBS P#QH5912 6.50000000                                                        | CUSIP: 3133CJR94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      66292 | PA      | $68911.54     | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6433 2.5% 12/01/51          | FREDDIE MAC POOL UMBS P#RA6433 2.50000000                                                        | CUSIP: 3133KNEE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     341050 | PA      | $296011.69    | 0.15%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5012 3.5% 10/01/39          | FREDDIE MAC POOL UMBS P#RB5012 3.50000000                                                        | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      22629 | PA      | $22053.72     | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI1359 5% 03/01/54            | FREDDIE MAC POOL UMBS P#QI1359 5.00000000                                                        | CUSIP: 3133W7QL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      58075 | PA      | $58653.29     | 0.03%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI1549 5% 03/01/54            | FREDDIE MAC POOL UMBS P#QI1549 5.00000000                                                        | CUSIP: 3133W7WJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     799441 | PA      | $809539.47    | 0.41%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI5805 5% 05/01/54            | FREDDIE MAC POOL UMBS P#QI5805 5.00000000                                                        | CUSIP: 3133WCNW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      21592 | PA      | $21806.84     | 0.01%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2024-90 FA V/R 12/25/54          | FANNIE MAE REMICS SER 2024-90 CL FA V/R 5.16721000                                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     629144 | PA      | $636657.61    | 0.33%             | 2054-12-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNR 2025-6 GF V/R 02/25/55           | FANNIE MAE REMICS SER 2025-6 CL GF V/R 5.06721000                                                | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     330044 | PA      | $333313.94    | 0.17%             | 2055-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHR 4579 FD V/R 01/15/38             | FREDDIE MAC REMICS SER 4579 CL FD V/R 4.26478000                                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      42122 | PA      | $41599.51     | 0.02%             | 2038-01-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHR 4579 SD V/R 01/15/38             | FREDDIE MAC REMICS SER 4579 CL SD V/R 2.07937800                                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      42122 | PA      | $2058.14      | 0.00%             | 2038-01-15      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHR 5513 MF V/R 11/25/54             | FREDDIE MAC REMICS SER 5513 CL MF V/R 4.60721000                                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     680706 | PA      | $685106.03    | 0.35%             | 2054-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNR 2003-34 A1 6% 04/25/43           | FANNIE MAE REMICS SER 2003-34 CL A1 6.00000000                                                   | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2927 | PA      | $2976.59      | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2614 SJ V/R 05/15/33             | FREDDIE MAC REMICS SER 2614 CL SJ V/R 9.28765800                                                 | CUSIP: 31393QNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      12058 | PA      | $13996.92     | 0.01%             | 2033-05-15      | Variable      | 9.29%                 | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A1 6% 2/25/44          | FNGT 2004-T3 1A1 6% 2/25/44 6.00000000                                                           | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2964 | PA      | $2995.11      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNW 2004-W12 1A1 6% 7/25/44          | FNW 2004-W12 1A1 6% 7/25/44 6.00000000                                                           | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      17303 | PA      | $18145.31     | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FSPC T-62 1A1 V/R 10/25/44           | FSPC T-62 1A1 V/R 10/25/44 5.11509000                                                            | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      12470 | PA      | $11568.07     | 0.01%             | 2044-10-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNR 2006-48 TF V/R 06/25/36          | FANNIE MAE REMICS SER 2006-48 CL TF V/R 4.18169000                                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       3091 | PA      | $3076.37      | 0.00%             | 2036-06-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNR 2009-104 FA V/R 12/25/39         | FANNIE MAE REMICS SER 2009-104 CL FA V/R 4.58169000                                              | CUSIP: 31398GBB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      35890 | PA      | $36219.46     | 0.02%             | 2039-12-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#841068 V/R 11/01/34           | FANNIE MAE POOL UMBS P#841068 V/R 6.23200000                                                     | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7490 | PA      | $7840.53      | 0.00%             | 2034-11-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| UMBS P#DB3354 5% 06/01/54            | FANNIE MAE POOL UMBS P#DB3354 5.00000000                                                         | CUSIP: 3140ACWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53437 | PA      | $53878.77     | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#DB5507 5% 06/01/54            | FANNIE MAE POOL UMBS P#DB5507 5.00000000                                                         | CUSIP: 3140AFDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     849357 | PA      | $854449.62    | 0.44%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#DB6905 6% 07/01/54            | FANNIE MAE POOL UMBS P#DB6905 6.00000000                                                         | CUSIP: 3140AGU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159443 | PA      | $163899.10    | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ8703 3.5% 05/01/49          | FANNIE MAE POOL UMBS P#BJ8703 3.50000000                                                         | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26725 | PA      | $25703.21     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT8263 4.5% 06/01/52          | FANNIE MAE POOL UMBS P#BT8263 4.50000000                                                         | CUSIP: 3140LXFD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285440 | PA      | $283674.66    | 0.15%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU4106 6.5% 07/01/53          | FANNIE MAE POOL UMBS P#BU4106 6.50000000                                                         | CUSIP: 3140M5R49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135178 | PA      | $143349.62    | 0.07%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU8670 4.5% 05/01/52          | FANNIE MAE POOL UMBS P#BU8670 4.50000000                                                         | CUSIP: 3140MAT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425017 | PA      | $422520.06    | 0.22%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV4128 2% 03/01/52            | FANNIE MAE POOL UMBS P#BV4128 2.00000000                                                         | CUSIP: 3140MHSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     383796 | PA      | $319446.09    | 0.16%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BY0545 5% 05/01/53            | FANNIE MAE POOL UMBS P#BY0545 5.00000000                                                         | CUSIP: 3140NGTB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260280 | PA      | $262398.86    | 0.13%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4346 3% 10/01/49            | FANNIE MAE POOL UMBS P#CA4346 3.00000000                                                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243107 | PA      | $220590.71    | 0.11%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6106 4% 06/01/50            | FANNIE MAE POOL UMBS P#CA6106 4.00000000                                                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69909 | PA      | $68751.39     | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB7220 5.5% 09/01/53          | FANNIE MAE POOL UMBS P#CB7220 5.50000000                                                         | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482357 | PA      | $491607.77    | 0.25%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM1796 3.5% 10/01/34          | FANNIE MAE POOL UMBS P#FM1796 3.50000000                                                         | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13007 | PA      | $12906.36     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3243 3.5% 02/01/50          | FANNIE MAE POOL UMBS P#FM3243 3.50000000                                                         | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46615 | PA      | $44446.77     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4086 3.5% 06/01/50          | FANNIE MAE POOL UMBS P#FM4086 3.50000000                                                         | CUSIP: 3140X7RG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185891 | PA      | $178611.79    | 0.09%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7441 3% 05/01/51            | FANNIE MAE POOL UMBS P#FM7441 3.00000000                                                         | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132086 | PA      | $119773.33    | 0.06%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS5955 6.5% 10/01/53          | FANNIE MAE POOL UMBS P#FS5955 6.50000000                                                         | CUSIP: 3140XMTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70123 | PA      | $73824.09     | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC1317 4.5% 09/01/34          | FANNIE MAE POOL UMBS P#AC1317 4.50000000                                                         | CUSIP: 31417KPB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26859 | PA      | $26757.40     | 0.01%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5389 6% 06/01/54            | FANNIE MAE POOL UMBS P#MA5389 6.00000000                                                         | CUSIP: 31418E7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     808246 | PA      | $830419.02    | 0.43%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4980 6% 04/01/53            | FANNIE MAE POOL UMBS P#MA4980 6.00000000                                                         | CUSIP: 31418ERA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     696419 | PA      | $717960.04    | 0.37%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5071 5% 07/01/53            | FANNIE MAE POOL UMBS P#MA5071 5.00000000                                                         | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86878 | PA      | $87716.61     | 0.04%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5073 6% 07/01/53            | FANNIE MAE POOL UMBS P#MA5073 6.00000000                                                         | CUSIP: 31418ET75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4949752 | PA      | $5110340.98   | 2.62%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5109 6.5% 08/01/53          | FANNIE MAE POOL UMBS P#MA5109 6.50000000                                                         | CUSIP: 31418EVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1653858 | PA      | $1718225.02   | 0.88%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5217 6.5% 12/01/53          | FANNIE MAE POOL UMBS P#MA5217 6.50000000                                                         | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2726930 | PA      | $2833064.72   | 1.45%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5446 6.5% 08/01/54          | FANNIE MAE POOL UMBS P#MA5446 6.50000000                                                         | CUSIP: 31418FBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79420 | PA      | $82510.93     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RJ1757 5% 06/01/54            | FREDDIE MAC POOL UMBS P#RJ1757 5.00000000                                                        | CUSIP: 3142GR5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      69639 | PA      | $70769.39     | 0.04%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.8 MBC          | OTC ECAL USD VS HKD 7.8 MBC 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     379000 | NC      | $313.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.85 MBC         | OTC ECAL USD VS HKD 7.85 MBC 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -379000 | NC      | $-133.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 BOA        | OTC ECAL USD VS HKD @ 7.8 BOA 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     422000 | NC      | $348.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 BOA       | OTC ECAL USD VS HKD @ 7.85 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -422000 | NC      | $-148.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 GLM        | OTC ECAL USD VS HKD @ 7.8 GLM 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     103000 | NC      | $85.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 GLM       | OTC ECAL USD VS HKD @ 7.85 GLM 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -103000 | NC      | $-36.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.85 BOA         | OTC ECAL USD VS HKD 7.85 BOA 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -661000 | NC      | $-241.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.8 BOA          | OTC ECAL USD VS HKD 7.8 BOA 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     661000 | NC      | $538.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 MBC        | OTC ECAL USD VS HKD @ 7.8 MBC 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     198000 | NC      | $161.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 MBC       | OTC ECAL USD VS HKD @ 7.85 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -198000 | NC      | $-72.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS SGD @ 1.315 BOA      | OTC ECAL USD VS SGD @ 1.315 BOA 0.00000000                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     462000 | NC      | $753.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS SGD @ 1.2365 BOA     | OTC EPUT USD VS SGD @ 1.2365 BOA 0.00000000                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -462000 | NC      | $-5460.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1400.0 BOA       | OTC EPUT USD VS KRW 1400.0 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     375417 | NC      | $4277.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1350.0 BOA       | OTC EPUT USD VS KRW 1350.0 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -375417 | NC      | $-1443.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1400.0 MBC       | OTC EPUT USD VS KRW 1400.0 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     717000 | NC      | $8169.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1350.0 MBC       | OTC EPUT USD VS KRW 1350.0 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -717000 | NC      | $-2757.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1400.0 MBC       | OTC EPUT USD VS KRW 1400.0 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     717000 | NC      | $8227.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1350.0 MBC       | OTC EPUT USD VS KRW 1350.0 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    -717000 | NC      | $-2789.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1400.0 BOA       | OTC EPUT USD VS KRW 1400.0 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |      83583 | NC      | $977.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS KRW 1350.0 BOA       | OTC EPUT USD VS KRW 1350.0 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     -83583 | NC      | $-335.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS CZK @ 24.04 BPS      | OTC EPUT EUR VS CZK @ 24.04 BPS 0.00000000                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     372000 | NC      | $905.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 10Y P 4.01500 L 02/27/26 JPM | ORO USD 10Y P 4.01500 L 02/27/26 JPM 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -500000 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 10Y C 3.77500 L 02/27/26 JPM | ORO USD 10Y C 3.77500 L 02/27/26 JPM 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -500000 | NC      | $-10050.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CRNCL 2016- V/R 01/31/30 /EUR/       | CAIRN CLO VII DAC SER 2016-7A CL A1R V/R REGD 144A P/P /EUR/ 2.69600000                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     112317 | PA      | $132733.00    | 0.07%             | 2030-01-31      | Variable      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| TPMF 2024-G V/R 10/20/29 /GBP/       | TOWD POINT MORTGAGE FUNDING 2024 - GRA SER 2024-GR6A CL A1 V/R REGD 144A P/P /GBP/ 4.65799000    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |     312176 | PA      | $421627.85    | 0.22%             | 2053-07-20      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| HAYEM 14A A V/R 01/22/39 /EUR/       | HAYFIN EMERALD CLO XIV DAC SER 14A CL A V/R REGD 144A P/P /EUR/ 3.23700000                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $1064753.34   | 0.55%             | 2039-01-22      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| COLFR 1A AR V/R 08/15/33 /EUR/       | CVC CORDATUS OPPORTUNITY LOAN FUND-R DAC SER 1A CL AR V/R REGD 144A P/P /EUR/ 2.82400000         | CUSIP: N/A<br>LEI: 635400C8SJP8XE4FXA57       | Long             | ABS-CBDO         | CORP              | IE        |     395844 | PA      | $467157.61    | 0.24%             | 2033-08-15      | Variable      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| EUROPEAN U 3.75% 10/12/45/EUR/       | EUROPEAN UNION /EUR/ REGD REG S EMTN SER UFA 3.75000000                                          | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | USGA              | LU        |    1000000 | PA      | $1197297.25   | 0.61%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DRYD 2017-2 V/R 04/15/33 /EUR/       | DRYDEN 27 R EURO CLO 2017 DAC SER 2017-27A CL AR V/R REGD 144A P/P /EUR/ 2.67600000              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     106594 | PA      | $126077.51    | 0.06%             | 2033-04-15      | Variable      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| BNPAM 2019- V/R 07/22/32 /EUR/       | BNPP AM EURO CLO 2019 DAC SER 2019-1A CL AR V/R REGD 144A P/P /EUR/ 2.84700000                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     293960 | PA      | $346318.79    | 0.18%             | 2032-07-22      | Variable      | 2.85%                 | Yes           |                  2 | On Loan: No      |
| RFTE 2018-1 V/R 08/29/36 /EUR/       | ROCKFORD TOWER EUROPE CLO 2018-1 DAC SER 2018-1A CL A1RR V/R REGD 144A P/P /EUR/ 3.27100000      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $355261.27    | 0.18%             | 2036-08-29      | Variable      | 3.27%                 | Yes           |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) JUN26          | FUTURE CONTRACT ON           US 2YR NOTE (CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -35 | NC      | $-7324570.33  | -3.75%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BOBL FUTURE  MAR26          | FUTURE CONTRACT ON           EURO-BOBL FUTURE  MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -30 | NC      | $-4163722.05  | -2.13%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-SCHATZ FUT   MAR26          | FUTURE CONTRACT ON           EURO-SCHATZ FUT   MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         53 | NC      | $6702732.30   | 3.43%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BUND FUTURE  MAR26          | FUTURE CONTRACT ON           EURO-BUND FUTURE  MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -27 | NC      | $-4154753.71  | -2.13%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BTP FUTURE   MAR26          | FUTURE CONTRACT ON           EURO-BTP FUTURE   MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        175 | NC      | $25402922.82  | 13.01%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C AUST 3YR BOND FUT MAR26          | FUTURE CONTRACT ON           AUST 3YR BOND FUT MAR26 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         54 | NC      | $4033496.69   | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-OAT FUTURE   MAR26          | FUTURE CONTRACT ON           EURO-OAT FUTURE   MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         24 | NC      | $3514172.90   | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C JPN 10Y BOND(OSE) MAR26          | FUTURE CONTRACT ON           JPN 10Y BOND(OSE) MAR26 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |        -13 | NC      | $-11055681.85 | -5.66%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C AUST 10Y BOND FUT MAR26          | FUTURE CONTRACT ON           AUST 10Y BOND FUT MAR26 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        -83 | NC      | $-6530710.36  | -3.34%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-BUXL 30Y BND MAR26          | FUTURE CONTRACT ON           EURO-BUXL 30Y BND MAR26 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         11 | NC      | $1479906.73   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| FOAKS 5A AR V/R 10/15/36 /EUR/       | FAIR OAKS LOAN FUNDING V DAC SER 5A CL AR V/R REGD 144A P/P /EUR/ 3.25100000                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $592119.25    | 0.30%             | 2036-10-15      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) JUN26          | FUTURE CONTRACT ON           US 5YR NOTE (CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         46 | NC      | $5066468.75   | 2.59%             |  |  |  | No            |                  1 | On Loan: No      |
| PRVD 7A ARR V/R 07/15/38 /EUR/       | PROVIDUS CLO VII DAC SER 7A CL ARR V/R REGD 144A P/P /EUR/ 3.18100000                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $591154.48    | 0.30%             | 2038-07-15      | Variable      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| F/C US LONG BOND(CBT) JUN26          | FUTURE CONTRACT ON           US LONG BOND(CBT) JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         -4 | NC      | $-473875.00   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR NOTE (CBT)JUN26          | FUTURE CONTRACT ON           US 10YR NOTE (CBT)JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         17 | NC      | $1934812.50   | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| RC R/P DEUTSC  3.760% 03/05/26       | RC R/P DEUTSC  3.760% 03/05/26 3.76000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -2662625 | PA      | $-2662625.00  | -1.36%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT JUN26          | FUTURE CONTRACT ON           US ULTRA BOND CBT JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -13 | NC      | $-1580718.75  | -0.81%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C US 10YR ULTRA FUT JUN26          | FUTURE CONTRACT ON           US 10YR ULTRA FUT JUN26 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        127 | NC      | $14825265.63  | 7.59%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C LONG GILT FUTURE  JUN26          | FUTURE CONTRACT ON           LONG GILT FUTURE  JUN26 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         97 | NC      | $12246041.63  | 6.27%             |  |  |  | No            |                  1 | On Loan: No      |
| F/C CAN 10YR BOND FUT JUN26          | FUTURE CONTRACT ON           CAN 10YR BOND FUT JUN26 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |         82 | NC      | $7383185.52   | 3.78%             |  |  |  | No            |                  1 | On Loan: No      |
| RC R/P DEUTSC  3.780% 03/02/26       | RC R/P DEUTSC  3.780% 03/02/26 3.78000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |    -786000 | PA      | $-786000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDI 2.25% 01/06/27       | GA GLOBAL FUNDING TRUST REGD 144A P/P 2.25000000                                                 | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147789.49    | 0.08%             | 2027-01-06      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GCAT 2023-NQM4 A V/R 05/25/67        | GCAT 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 4.25000000                            | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     733887 | PA      | $715879.65    | 0.37%             | 2067-05-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA II P#MA8043 3% 05/20/52         | GINNIE MAE II POOL P#MA8043 3.00000000                                                           | CUSIP: 36179W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1103777 | PA      | $1013725.04   | 0.52%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8098 3% 06/20/52         | GINNIE MAE II POOL P#MA8098 3.00000000                                                           | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2476301 | PA      | $2273925.53   | 1.16%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7706 3% 11/20/51         | GINNIE MAE II POOL P#MA7706 3.00000000                                                           | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402576 | PA      | $369691.04    | 0.19%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7882 3% 02/20/52         | GINNIE MAE II POOL P#MA7882 3.00000000                                                           | CUSIP: 36179WXK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85407 | PA      | $78436.52     | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7937 3% 03/20/52         | GINNIE MAE II POOL P#MA7937 3.00000000                                                           | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985267 | PA      | $904747.12    | 0.46%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8487 3.5% 12/20/52       | GINNIE MAE II POOL P#MA8487 3.50000000                                                           | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183695 | PA      | $174215.56    | 0.09%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA9961 3.5% 10/20/54       | GINNIE MAE II POOL P#MA9961 3.50000000                                                           | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5561687 | PA      | $5232994.92   | 2.68%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMACM 2005-AR6 3 V/R 11/19/35        | GMACM MORTGAGE LOAN TRUST 2005-AR6 SER 2005-AR6 CL 3A1 V/R REGD 3.72332000                       | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       6126 | PA      | $5466.67      | 0.00%             | 2035-11-19      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0022 3.5% 11/20/54       | GINNIE MAE II POOL P#MB0022 3.50000000                                                           | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     490839 | PA      | $461677.62    | 0.24%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MB0201 3.5% 02/20/55       | GINNIE MAE II POOL P#MB0201 3.50000000                                                           | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393074 | PA      | $369720.72    | 0.19%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4239 6% 09/20/38           | GINNIE MAE II POOL P#4239 6.00000000                                                             | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        538 | PA      | $547.52       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR 2003-1 A2 V/R 03/25/33           | GSR MORTGAGE LOAN TRUST 2003-1 SER 2003-1 CL A2 V/R REGD 5.88000000                              | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1231 | PA      | $1244.38      | 0.00%             | 2033-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GSR 2005-AR7 2A1 V/R 11/25/35        | GSR MORTGAGE LOAN TRUST 2005-AR7 SER 2005-AR7 CL 2A1 V/R REGD 4.74329000                         | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      25630 | PA      | $24898.35     | 0.01%             | 2035-11-01      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSMBS 2021-INV1  V/R 12/25/43        | GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 SER 2021-INV1 CL A2 V/R REGD 144A P/P 2.50000000   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      72366 | PA      | $62169.03     | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GSMBS 2021-GR3 A V/R 04/25/52        | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 SER 2021-GR3 CL A2 V/R REGD 144A P/P 2.50000000     | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      71231 | PA      | $61193.96     | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GSMBS 2022-PJ4 A V/R 04/25/43        | GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2022-PJ4 CL A4 V/R REGD 144A P/P 2.50000000     | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     701214 | PA      | $602407.59    | 0.31%             | 2052-09-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GALL 2017-1A A1R V/R 07/15/31        | GALLATIN CLO VIII 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 5.02380000                     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     232251 | PA      | $232552.54    | 0.12%             | 2031-07-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/24/29       | GOLDMAN SACHS GROUP INC REGD V/R 6.48400000                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $423685.68    | 0.22%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/25/30       | GOLDMAN SACHS GROUP INC REGD V/R 5.72700000                                                      | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     600000 | PA      | $627014.83    | 0.32%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/25/35       | GOLDMAN SACHS GROUP INC REGD V/R 5.85100000                                                      | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $533467.84    | 0.27%             | 2035-04-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/23/35       | GOLDMAN SACHS GROUP INC REGD V/R 5.33000000                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $413117.17    | 0.21%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BAN V/R 03/18/27       | GOLDMAN SACHS BANK USA REGD V/R SER BKNT 5.28300000                                              | CUSIP: 38151LAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $100057.39    | 0.05%             | 2027-03-18      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNR 2016-H15 FA V/R 07/20/66         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H15 CL FA V/R 4.59691000                       | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      43088 | PA      | $43265.48     | 0.02%             | 2066-07-20      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNR 2017-121 PE 3% 07/20/46          | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000                           | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2035 | PA      | $2014.73      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2024-H07 JF V/R 04/20/74         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2024-H07 CL JF V/R 4.45154000                       | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     466814 | PA      | $471030.33    | 0.24%             | 2074-04-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/13/28       | HSBC HOLDINGS PLC REGD V/R 4.04100000                                                            | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $200154.06    | 0.10%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| HVMLT 2005-2 2A1 V/R 05/19/35        | HARBORVIEW MORTGAGE LOAN TRUST 2005-2 SER 2005-2 CL 2A1A V/R REGD 4.22051000                     | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       7904 | PA      | $7747.58      | 0.00%             | 2035-05-19      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| HVMLT 2005-3 2A1 V/R 06/19/35        | HARBORVIEW MORTGAGE LOAN TRUST 2005-3 SER 2005-3 CL 2A1A V/R REGD 4.26051000                     | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       9186 | PA      | $9108.85      | 0.00%             | 2035-06-19      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| HVMLT 2006-SB1 A V/R 12/19/36        | HARBORVIEW MORTGAGE LOAN TRUST SER 2006-SB1 CL A1A V/R REGD 4.76509000                           | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      36060 | PA      | $33991.89     | 0.02%             | 2036-12-19      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| HVMLT 2007-1 2A1 V/R 03/19/37        | HARBORVIEW MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 2A1A V/R REGD 4.04051000                     | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      50368 | PA      | $47502.39     | 0.02%             | 2037-03-19      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| ICG 2021-3A AR V/R 10/20/34          | ICG US CLO 2021-3 LTD SER 2021-3A CL AR V/R REGD 144A P/P 4.81763000                             | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500233.50    | 0.26%             | 2034-10-20      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| IMP BRANDS FIN  DISC  03/04/26       | IMP BRANDS FIN  DISC  03/04/26 0.00000000                                                        | CUSIP: 45262EC47<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |     350000 | PA      | $349887.13    | 0.18%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RAST 2005-A15  5.75% 02/25/36        | RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 5A1 REGD 5.75000000              | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      13319 | PA      | $4836.14      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL 5.5% 03/12/34        | STATE OF ISRAEL REGD SER 10Y 5.50000000                                                          | CUSIP: 46514BRL3<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |     300000 | PA      | $312255.60    | 0.16%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL 5.75% 03/12/54       | STATE OF ISRAEL REGD SER 30Y 5.75000000                                                          | CUSIP: 46514BRM1<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |     300000 | PA      | $294174.14    | 0.15%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAE 5.375% 03/12/29       | STATE OF ISRAEL REGD SER 5Y 5.37500000                                                           | CUSIP: 46514BRN9<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |     300000 | PA      | $309358.77    | 0.16%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAE 5.375% 02/19/30       | STATE OF ISRAEL REGD SER 5Y 5.37500000                                                           | CUSIP: 46514Y8A8<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |     900000 | PA      | $932718.37    | 0.48%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMMT 2022-INV1  V/R 12/25/43        | JP MORGAN MORTGAGE TRUST 2022-INV1 SER 2022-INV1 CL A3 V/R REGD 144A P/P 3.00000000              | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     539989 | PA      | $482810.32    | 0.25%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JPMMT 2003-A2 3A V/R 11/25/33        | JP MORGAN MORTGAGE TRUST 2003-A2 SER 2003-A2 CL 3A1 V/R REGD 5.79652000                          | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        539 | PA      | $526.47       | 0.00%             | 2033-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JPMMT 2005-A1 6T V/R 02/25/35        | JP MORGAN MORTGAGE TRUST 2005-A1 SER 2005-A1 CL 6T1 V/R REGD 5.13826000                          | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        310 | PA      | $303.00       | 0.00%             | 2035-02-01      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 10/22/30       | JPMORGAN CHASE & CO REGD V/R 4.60300000                                                          | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611370.89    | 0.31%             | 2030-10-22      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 01/24/36       | JPMORGAN CHASE & CO REGD V/R 5.50200000                                                          | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     400000 | PA      | $421187.56    | 0.22%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2021-10 A3 V/R 10/25/44        | JP MORGAN MORTGAGE TRUST 2021-10 SER 2021-10 CL A3 V/R REGD 144A P/P 2.50000000                  | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     294827 | PA      | $253099.98    | 0.13%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JPMMT 2021-INV4  V/R 08/25/44        | JP MORGAN MORTGAGE TRUST 2021-INV4 SER 2021-INV4 CL A2 V/R REGD 144A P/P 3.00000000              | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     845482 | PA      | $756968.69    | 0.39%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JPMMT 2021-INV8  V/R 09/25/43        | J.P. MORGAN MORTGAGE TRUST 2021-INV8 SER 2021-INV8 CL A2 V/R REGD 144A P/P 3.00000000            | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     701819 | PA      | $629221.60    | 0.32%             | 2052-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JPMMT 2022-LTV2  V/R 09/25/52        | J.P. MORGAN MORTGAGE TRUST 2022-LTV2 SER 2022-LTV2 CL A3 V/R REGD 144A P/P 3.50000000            | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     685993 | PA      | $641150.28    | 0.33%             | 2052-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JTWN 2021-16A AR V/R 07/25/34        | JAMESTOWN CLO XVI LTD SER 2021-16A CL AR V/R REGD 144A P/P 4.78802000                            | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700748.30    | 0.36%             | 2034-07-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| JTI FINL SVCS NO DISC 03/20/26       | JTI FINL SVCS NORTH AMER LLC D  DISCOUNT COMMERCIAL PAPER 0.00000000                             | CUSIP: 48130PCL8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     450000 | PA      | $449085.63    | 0.23%             | 2026-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV V/R 01/19/29            | KBC GROUP NV REGD V/R 144A P/P 5.79600000                                                        | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     200000 | PA      | $206674.42    | 0.11%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| KEURIG DR PEPPER DISC 03/11/26       | KEURIG DR PEPPER DISC 03/11/26 0.00000000                                                        | CUSIP: 49271KCB8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     550000 | PA      | $549410.28    | 0.28%             | 2026-03-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL  4.25% 09/30/29       | KOREA NATIONAL OIL CORP REGD 144A P/P 4.25000000                                                 | CUSIP: 50065LAL4<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |     400000 | PA      | $405197.56    | 0.21%             | 2029-09-30      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.016% 10/09/28       | KUWAIT INTL BOND REGD 144A P/P 4.01600000                                                        | CUSIP: 501499AD9<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |     400000 | PA      | $402361.84    | 0.21%             | 2028-10-09      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.136% 10/09/30       | KUWAIT INTL BOND REGD 144A P/P 4.13600000                                                        | CUSIP: 501499AE7<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |     200000 | PA      | $201045.31    | 0.10%             | 2030-10-09      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| KUWAIT INTL BO 4.652% 10/09/35       | KUWAIT INTL BOND REGD 144A P/P 4.65200000                                                        | CUSIP: 501499AF4<br>LEI: N/A                  | Long             | DBT              | USGA              | KW        |     300000 | PA      | $302654.89    | 0.15%             | 2035-10-09      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| ESC LEHMAN BR 0.0% 12/30/16          | ESC LEHMAN BRTH HLD 0.00000000                                                                   | CUSIP: 525ESC0B6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $780.00       | 0.00%             | 2049-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL 5.3% 01/13/30       | LINCOLN FIN GLBL FUNDING REGD 144A P/P 5.30000000                                                | CUSIP: 53359KAA9<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |     600000 | PA      | $617041.80    | 0.32%             | 2030-01-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 06/05/30       | LLOYDS BANKING GROUP PLC REGD V/R 5.72100000                                                     | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $315201.98    | 0.16%             | 2030-06-05      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T I 6% 08/04/28/GBP/       | ITALY GOV'T INT BOND /GBP/ REGD EMTN 6.00000000                                                  | CUSIP: T6R88QAL8<br>LEI: N/A                  | Long             | DBT              | USGA              | IT        |     400000 | PA      | $562136.40    | 0.29%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFRA 2020-NQM2 A V/R 04/25/65        | MFA 2020-NQM2 TRUST SER 2020-NQM2 CL A1 V/R REGD 144A P/P 1.38100000                             | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      42909 | PA      | $42212.83     | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| MFRA 2023-NQM4 A V/R 12/25/27        | MFA 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 6.10500000                             | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     277807 | PA      | $280634.27    | 0.14%             | 2068-12-25      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| OMW 2020-1MW A 2.13% 09/10/27        | MANHATTAN WEST 2020-1MW MORTGAGE TRUST SER 2020-1MW CL A REGD 144A P/P 2.13000000                | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $289915.38    | 0.15%             | 2039-09-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| MARICOPA CNTY  7.375% 10/01/29       | MARICOPA CNTY AZ INDL DEV AUTH REGD B/E 7.37500000                                               | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $215938.22    | 0.11%             | 2029-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| MEFA 2008-1 A1 V/R 04/25/38          | MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY SER 2008-1 CL A1 V/R 5.09862000                    | CUSIP: 57563NAA6<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-CBDO         | CORP              | US        |      13535 | PA      | $13547.21     | 0.01%             | 2038-04-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| MLMI 2003-A2 1A1 V/R 02/25/33        | MERRILL LYNCH MORTGAGE INVESTORS TRUST MLMI SERI SER 2003-A2 CL 1A1 V/R REGD 5.89995000          | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1222 | PA      | $1156.08      | 0.00%             | 2033-02-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| NYO 2021-1290 A V/R 11/15/28         | NYO COMMERCIAL MORTGAGE TRUST 2021-1290 SER 2021-1290 CL A V/R REGD 144A P/P 4.86948000          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $399520.44    | 0.20%             | 2038-11-15      | Variable      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| NATIONWIDE BLDG S V/R 02/16/28       | NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P MTN 2.97200000                                         | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $297086.08    | 0.15%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| NRZT 2020-RPL1 A V/R 11/25/59        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 SER 2020-RPL1 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     112995 | PA      | $109576.68    | 0.06%             | 2059-11-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| NRZT 2019-RPL3 A V/R 07/25/59        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     103330 | PA      | $100806.72    | 0.05%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| NOMURA HOLDING 2.329% 01/22/27       | NOMURA HOLDINGS INC REGD 2.32900000                                                              | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $197243.29    | 0.10%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-12BA  V/R 06/15/31        | NORTHWOODS CAPITAL XII-B LTD SER 2018-12BA CL AR V/R REGD 144A P/P 4.91320000                    | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     226119 | PA      | $226165.13    | 0.12%             | 2031-06-15      | Variable      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| NHEL 2006-1 A2D V/R 05/25/36         | NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-1 SER 2006-1 CL A2D V/R REGD 4.32821000              | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     398280 | PA      | $392916.04    | 0.20%             | 2036-05-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 A1 V/R 03/25/53        | OBX 2024-HYB1 TRUST SER 2024-HYB1 CL A1 V/R REGD 144A P/P 3.63172000                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     765734 | PA      | $768025.57    | 0.39%             | 2053-03-25      | Variable      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| ONYP 2020-1NYP A V/R 01/15/23        | ONE NEW YORK PLAZA TRUST 2020-1NYP SER 2020-1NYP CL A V/R REGD 144A P/P 4.72448000               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     283173 | PA      | $277152.07    | 0.14%             | 2036-01-15      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| OOMLT 2007-CP1 1 V/R 03/25/37        | OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 SER 2007-CP1 CL 1A1 V/R REGD 3.92821000                  | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      44954 | PA      | $41946.27     | 0.02%             | 2037-03-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 S/UP 11/25/58        | PRKCM 2023-AFC4 TRUST SER 2023-AFC4 CL A1 S/UP REGD 144A P/P 7.22500000                          | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     267313 | PA      | $270455.27    | 0.14%             | 2058-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| PRPM 2023-NQM3 A V/R 11/25/68        | PRPM 2023-NQM3 TRUST SER 2023-NQM3 CL A1 V/R REGD 144A P/P 6.22100000                            | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     304278 | PA      | $307235.83    | 0.16%             | 2068-11-25      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| PACIFICORP 5.3% 02/15/31             | PACIFICORP REGD 5.30000000                                                                       | CUSIP: 695114DC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $207867.49    | 0.11%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS  4.875% 02/13/29       | PHILIP MORRIS INTL INC REGD 4.87500000                                                           | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205713.33    | 0.11%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 5.125% 09/18/34       | REPUBLIC OF POLAND REGD SER 10Y 5.12500000                                                       | CUSIP: 731011AY8<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |     100000 | PA      | $104113.36    | 0.05%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY 2.25% 07/12/31          | QATAR ENERGY REGD 144A P/P 2.25000000                                                            | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |     200000 | PA      | $182190.00    | 0.09%             | 2031-07-12      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| RALI 2006-QS6 1A1 6% 06/25/36        | RALI SERIES 2006-QS6 TRUST SER 2006-QS6 CL 1A1 REGD 6.00000000                                   | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      60469 | PA      | $50555.40     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI 2007-QO2 A1 V/R 02/25/47        | RALI SERIES 2007-QO2 TRUST SER 2007-QO2 CL A1 V/R REGD 3.93821000                                | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      40184 | PA      | $11892.14     | 0.01%             | 2047-02-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| RAST 2006-R1 A2 V/R 01/25/46         | RESIDENTIAL ASSET SECURITIZATION TRUST 2006-R1 SER 2006-R1 CL A2 V/R REGD 4.18821000             | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      36614 | PA      | $9972.69      | 0.01%             | 2046-01-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 08/02/30       | ROYAL BANK OF CANADA REGD V/R MTN SER GMTN 4.96900000                                            | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     400000 | PA      | $411972.56    | 0.21%             | 2030-08-02      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 08/06/31       | ROYAL BANK OF CANADA REGD V/R MTN 4.69600000                                                     | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     400000 | PA      | $408971.95    | 0.21%             | 2031-08-06      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD 5.4% 08/08/28        | SANDS CHINA LTD REGD SER WI 5.40000000                                                           | CUSIP: 80007RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | MO        |     200000 | PA      | $204325.80    | 0.10%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 01/10/29       | SANTANDER UK GROUP HLDGS REGD V/R 6.53400000                                                     | CUSIP: 80281LAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     500000 | PA      | $521948.63    | 0.27%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATI 4.75% 01/18/28       | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.75000000                                            | CUSIP: 80413TBC2<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |     400000 | PA      | $405765.54    | 0.21%             | 2028-01-18      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNAT 4.875% 07/18/33       | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.87500000                                            | CUSIP: 80413TBD0<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |     200000 | PA      | $204083.16    | 0.10%             | 2033-07-18      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNAT 5.125% 01/13/28       | SAUDI INTERNATIONAL BOND REGD 144A P/P 5.12500000                                                | CUSIP: 80413TBJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |     400000 | PA      | $408727.39    | 0.21%             | 2028-01-13      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| SMB 2022-B A1B V/R 02/16/55          | SMB PRIVATE EDUCATION LOAN TRUST 2022-B SER 2022-B CL A1B V/R REGD 144A P/P 5.10819000           | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     186532 | PA      | $188409.89    | 0.10%             | 2055-02-16      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| SVHE 2006-3 A4 V/R 11/25/36          | SOUNDVIEW HOME LOAN TRUST 2006-3 SER 2006-3 CL A4 V/R REGD 4.28821000                            | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     773779 | PA      | $747601.19    | 0.38%             | 2036-11-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 02/08/28       | STANDARD CHARTERED PLC REGD V/R 144A P/P 6.75000000                                              | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $922505.64    | 0.47%             | 2028-02-08      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF PO 4.875% 02/12/30       | REPUBLIC OF POLAND REGD SER 5Y 4.87500000                                                        | CUSIP: 857524AF9<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |     100000 | PA      | $103898.11    | 0.05%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 5.375% 02/12/35       | REPUBLIC OF POLAND REGD SER 10Y 5.37500000                                                       | CUSIP: 857524AH5<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |     100000 | PA      | $105164.76    | 0.05%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SARM 2004-19 2A1 V/R 01/25/35        | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-19 CL 2A1 V/R REGD 5.31509000            | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      17266 | PA      | $16203.81     | 0.01%             | 2035-01-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| SARM 2004-1 4A1 V/R 02/25/34         | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-1 CL 4A1 V/R REGD 5.94024000             | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1205 | PA      | $1171.75      | 0.00%             | 2034-02-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| SARM 2004-4 3A2 V/R 04/25/34         | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SERIES  SER 2004-4 CL 3A2 V/R REGD 5.96989000     | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        416 | PA      | $413.90       | 0.00%             | 2034-04-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| SASC 2006-RF1 1A V/R 01/25/36        | STRUCTURED ASSET SECURITIES CORP SER 2006-RF1 CL 1A V/R REGD 144A P/P 4.06821000                 | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      38883 | PA      | $32855.21     | 0.02%             | 2036-01-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| SAMI 2005-AR2 2A V/R 05/25/45        | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR2 SER 2005-AR2 CL 2A1 V/R REGD 4.24821000  | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      16066 | PA      | $15535.95     | 0.01%             | 2045-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SAMI 2005-AR8 A1 V/R 02/25/36        | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR8 SER 2005-AR8 CL A1A V/R REGD 4.34821000  | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      17825 | PA      | $15380.66     | 0.01%             | 2036-02-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| SAMI 2006-AR5 1A V/R 05/25/36        | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR5 SER 2006-AR5 CL 1A1 V/R REGD 4.20821000  | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      15369 | PA      | $10943.39     | 0.01%             | 2036-05-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| SAMI 2007-AR4 A3 V/R 09/25/47        | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR4 SER 2007-AR4 CL A3 V/R REGD 4.22821000   | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      80006 | PA      | $73167.59     | 0.04%             | 2047-09-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| SAMI 2007-AR6  V/R 11/25/37          | SAMI 2007-AR6  V/R 11/25/37 5.41509000                                                           | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      44845 | PA      | $39235.82     | 0.02%             | 2047-08-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI F V/R 07/08/36       | SUMITOMO MITSUI FINL GRP REGD V/R 5.24600000                                                     | CUSIP: 86562MEA4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $517578.17    | 0.27%             | 2036-07-08      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI  5.2% 03/07/29       | SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 5.20000000                                            | CUSIP: 86563VBQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |     200000 | PA      | $207147.37    | 0.11%             | 2029-03-07      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| TORONTO-DOMINI 4.814% 07/16/27       | TORONTO-DOMINION BANK REGD 144A P/P 4.81400000                                                   | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $711601.50    | 0.36%             | 2027-07-16      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| TPMT 2019-4 A1 V/R 07/25/29          | TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 2.90000000                   | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     356101 | PA      | $346307.77    | 0.18%             | 2059-10-25      | Variable      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| TPMT 2020-1 A1 V/R 01/25/60          | TOWD POINT MORTGAGE TRUST 2020-1 SER 2020-1 CL A1 V/R REGD 144A P/P 2.71000000                   | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      81897 | PA      | $79697.98     | 0.04%             | 2060-01-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| UWM 2021-INV5 A1 V/R 01/25/52        | UWM MORTGAGE TRUST 2021-INV5 SER 2021-INV5 CL A12 V/R REGD 144A P/P 3.00000000                   | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      76519 | PA      | $68561.75     | 0.04%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 04/07/26               | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797TG2<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     264000 | PA      | $263043.69    | 0.13%             | 2026-04-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 02/15/48             | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     300000 | PA      | $231738.28    | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 08/15/48             | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SD1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     175000 | PA      | $134503.91    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 11/15/48         | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810SE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     800000 | PA      | $656250.00    | 0.34%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/49          | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     400000 | PA      | $261171.88    | 0.13%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 11/15/49         | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     350000 | PA      | $234076.17    | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 11/15/40         | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     200000 | PA      | $134410.16    | 0.07%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 02/15/41         | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810SW9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1100000 | PA      | $794513.68    | 0.41%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.125% 08/15/44         | UNITED STATES TREASURY BOND 4.12500000                                                           | CUSIP: 912810UD8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     975000 | PA      | $923698.24    | 0.47%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.5% 11/15/54           | UNITED STATES TREASURY BOND 4.50000000                                                           | CUSIP: 912810UE6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    3900000 | PA      | $3810574.21   | 1.95%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 02/15/55         | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UG1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1900000 | PA      | $1895101.57   | 0.97%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 11/15/55         | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UP1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     200000 | PA      | $199687.50    | 0.10%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.5% 01/15/28                | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000                                        | CUSIP: 9128283R9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1313740 | PA      | $1305343.19   | 0.67%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/31              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CCM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1088154 | PA      | $1031902.52   | 0.53%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/32              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     818307 | PA      | $766167.33    | 0.39%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 07/15/32              | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     111532 | PA      | $107244.41    | 0.05%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.125% 01/15/33              | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000                                        | CUSIP: 91282CGK1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1523032 | PA      | $1498175.86   | 0.77%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 02/29/28             | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CGP0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     200000 | PA      | $202363.28    | 0.10%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WI TREASURY SE 4.375% 05/15/34       | UNITED STATES TREASURY NOTE 4.37500000                                                           | CUSIP: 91282CKQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     400000 | PA      | $415382.81    | 0.21%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR5 A7 V/R 06/25/33        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR5 SER 2003-AR5 CL A7 V/R REGD 5.72273700   | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        815 | PA      | $818.71       | 0.00%             | 2033-06-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| WAMU 2005-AR13 A V/R 10/25/45        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR13 CL A1A1 V/R REGD 4.36821000   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       9088 | PA      | $8899.13      | 0.00%             | 2045-10-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 2A V/R 09/25/33        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 2A V/R REGD 5.68973400   | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      27313 | PA      | $26832.31     | 0.01%             | 2033-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| WAMU 2004-AR1 A V/R 03/25/34         | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR1 SER 2004-AR1 CL A V/R REGD 5.71233300    | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      71336 | PA      | $72859.19     | 0.04%             | 2034-03-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR10 2 V/R 09/25/36        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006- SER 2006-AR10 CL 2A1 V/R REGD 4.14326900    | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      18012 | PA      | $15551.67     | 0.01%             | 2036-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WAMU 2006-AR13 2 V/R 10/25/46        | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR13 SER 2006-AR13 CL 2A V/R REGD 5.41509000 | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      27632 | PA      | $26727.44     | 0.01%             | 2046-10-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| WAMU 02-AR9 1A V/R 8/25/42           | WAMU 02-AR9 1A V/R 8/25/42 5.31509000                                                            | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       2154 | PA      | $2119.77      | 0.00%             | 2042-08-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| WAMMS 2002-AR3 1 V/R 12/25/32        | WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUG SER 2002-AR3 CL 1A7 V/R REGD 5.98505800               | CUSIP: 939336KZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      33424 | PA      | $33314.80     | 0.02%             | 2032-12-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| WMALT 2006-AR5 3 V/R 07/25/46        | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATE SER 2006-AR5 CL 3A V/R REGD 4.85509000       | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      13702 | PA      | $8621.63      | 0.00%             | 2046-07-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 07/25/28       | WELLS FARGO & COMPANY REGD V/R MTN 4.80800000                                                    | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $606771.24    | 0.31%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 09/15/36       | WELLS FARGO & COMPANY REGD V/R 4.89200000                                                        | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $300958.85    | 0.15%             | 2036-09-15      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| GENERALITA 4.22% 04/26/35/EUR/       | GENERALITAT DE CATALUNYA /EUR/ REGD 4.22000000                                                   | CUSIP: E5645NBY9<br>LEI: 95980020140005848404 | Long             | DBT              | USGA              | ES        |     100000 | PA      | $124816.63    | 0.06%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| RMACS 06-NS1X A2A V/R 6/12/44        | RMACS 06-NS1X A2A V/R 6/12/44 4.06462000                                                         | CUSIP: G7604CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     107135 | PA      | $143140.94    | 0.07%             | 2044-06-12      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| RMACS 2006- V/R 06/12/44 /GBP/       | RMAC SECURITIES NO 1 PLC SER 2006-NS3X CL A2A V/R REGD REG S /GBP/ 4.06462000                    | CUSIP: G7604CBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     206451 | PA      | $274859.74    | 0.14%             | 2044-06-12      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| NGATE 07-1X A3 V/R 12/1/50           | NGATE 07-1X A3 V/R 12/1/50 4.10068000                                                            | CUSIP: G6484AAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     226831 | PA      | $301645.50    | 0.15%             | 2050-12-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| EHMU 2007-1 V/R 06/15/44 /GBP/       | EUROHOME UK MORTGAGES 2007 -1 PLC SER 2007-1 CL A V/R REGD REG S /GBP/ 4.05613000                | CUSIP: G3224PAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |      13228 | PA      | $17824.09     | 0.01%             | 2044-06-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC O 6.25% 03/31/36/ZAR/       | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER R209 6.25000000                                          | CUSIP: S69124MZ5<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |    1600000 | PA      | $87991.06     | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RLOC 2007-1 V/R 12/15/43 /GBP/       | RESLOC UK 2007-1 PLC SER 2007-1X CL A3B V/R REGD REG S /GBP/ 4.06613000                          | CUSIP: G7521KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     107524 | PA      | $143332.74    | 0.07%             | 2043-12-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| LGATE 2007- V/R 01/01/61 /GBP/       | LUDGATE FUNDING PLC SER 2007-1 CL A2A V/R REGD /GBP/ 4.01540000                                  | CUSIP: G571A3AW5<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-CBDO         | CORP              | GB        |     219075 | PA      | $290027.84    | 0.15%             | 2061-01-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| ALBA 2007-1 V/R 03/17/39 /GBP/       | ALBA 2007-1 PLC SER 2007-1 CL A3 V/R REGD REG S /GBP/ 4.07009000                                 | CUSIP: G021A3AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     152208 | PA      | $202309.85    | 0.10%             | 2039-03-17      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC O 6.95% 08/12/31/PEN/       | REPUBLIC OF PERU /PEN/ REGD 6.95000000                                                           | CUSIP: 715638BE1<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    2321000 | PA      | $775614.79    | 0.40%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UK TSY    3.25% 01/22/44 /GBP/       | UK TSY 3 1/4% 2044 /GBP/ REGD 3.25000000                                                         | CUSIP: G4527HCQ2<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    1350000 | PA      | $1465332.33   | 0.75%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TREASURY C 4.25% 12/20/32/AUD/       | TREASURY CORP VICTORIA /AUD/ REGD 4.25000000                                                     | CUSIP: Q9194YCC6<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     400000 | PA      | $274572.26    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.5% 09/20/46/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 52 0.50000000                                               | CUSIP: J2S39KQK5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  152000000 | PA      | $601488.01    | 0.31%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FI 2.75% 03/29/28/EUR/       | FAIRFAX FINL HLDGS LTD /EUR/ REGD REG S 2.75000000                                               | CUSIP: C33461AA9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $118233.08    | 0.06%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW S WALES 3.5% 11/20/37/AUD/       | NEW S WALES TREASURY CRP /AUD/ REGD REG S SER 37 3.50000000                                      | CUSIP: Q6715PGH6<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     500000 | PA      | $297950.45    | 0.15%             | 2037-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KIN 1.75% 01/22/49/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 1.75000000                                                  | CUSIP: G4527HEG2<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $377374.37    | 0.19%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/28/JPY/       | JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000                                               | CUSIP: J2S39KJ56<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |  167409480 | PA      | $1072626.22   | 0.55%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BONOS Y OB 1.45% 04/30/29/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000                                                   | CUSIP: E8922AHG8<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |      36000 | PA      | $41582.63     | 0.02%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/50/DKK/       | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724GM3<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.5% 03/20/49/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 62 0.50000000                                               | CUSIP: J2S39K3W4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   38700000 | PA      | $140604.26    | 0.07%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF S 8% 01/31/30/ZAR/       | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2030 8.00000000                                          | CUSIP: S69124VP7<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |    8800000 | PA      | $569040.13    | 0.29%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OB 1.45% 10/31/27/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000                                                   | CUSIP: E8922AEY2<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |     400000 | PA      | $468101.71    | 0.24%             | 2027-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF 5.4% 08/12/34/PEN/       | REPUBLIC OF PERU /PEN/ REGD REG S 5.40000000                                                     | CUSIP: P78024AG4<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    1400000 | PA      | $416293.76    | 0.21%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 12/20/48/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 61 0.70000000                                               | CUSIP: J2S39KS98<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   98000000 | PA      | $379551.92    | 0.19%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/50/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01E 1.50000000                                      | CUSIP: K74181V86<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANCA MON 0.875% 10/08/26/EUR/       | BANCA MONTE DEI PASCHI S /EUR/ REGD REG S 0.87500000                                             | CUSIP: T1188BJA5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $117278.60    | 0.06%             | 2026-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT 1% 10/01/50/DKK/       | NORDEA KREDIT REALKREDIT /DKK/ REGD REG S SER CC2 1.00000000                                     | CUSIP: K7S724GQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.39         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/50/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER CCE 1.00000000                                      | CUSIP: K74181W69<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          4 | PA      | $0.53         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/29/JPY/       | JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000                                               | CUSIP: J2S39K4F0<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |   53155590 | PA      | $341663.42    | 0.17%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT 1% 10/01/50/DKK/       | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.00000000                                           | CUSIP: K7S724GR2<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.85         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/50/DKK/       | REALKREDIT DANMARK /DKK/ REGD REG S SER CCS 1.00000000                                           | CUSIP: K8094KWV1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKRE 1% 10/01/50/DKK/       | JYSKE REALKREDIT A/S /DKK/ REGD REG S SER CCE 1.00000000                                         | CUSIP: K5S69JAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          8 | PA      | $1.03         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKRE 1% 10/01/50/DKK/       | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE. 1.00000000                                              | CUSIP: K5S69JAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      31614 | PA      | $3801.64      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/50/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01EE 1.00000000                                     | CUSIP: K74181Y26<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.34         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW S WALES T 2% 03/08/33/AUD/       | NEW S WALES TREASURY CRP /AUD/ REGD 2.00000000                                                   | CUSIP: Q6715PB65<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    1000000 | PA      | $591389.37    | 0.30%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TREASURY C 2.25% 09/15/33/AUD/       | TREASURY CORP VICTORIA /AUD/ REGD REG S 2.25000000                                               | CUSIP: Q9194YMT8<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    1000000 | PA      | $589617.48    | 0.30%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MALAYSIA  4.193% 10/07/32/MYR/       | MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0122 4.19300000                                          | CUSIP: Y2R35QDK4<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |     860000 | PA      | $231189.09    | 0.12%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ROMANIA 1.75% 07/13/30/EUR/          | ROMANIA /EUR/ REGD 144A P/P MTN 1.75000000                                                       | CUSIP: X7360WBW1<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |     200000 | PA      | $217930.38    | 0.11%             | 2030-07-13      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 12/20/50/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 69 0.70000000                                               | CUSIP: J2S39LKG8<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   60000000 | PA      | $217435.88    | 0.11%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/       | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724JZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     176799 | PA      | $22875.84     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| THAILAND G 1.84% 05/17/36/THB/       | THAILAND GOVERNMENT BOND /THB/ REGD 0.00000000                                                   | CUSIP: Y603CLDG6<br>LEI: N/A                  | Long             | DBT              | USGA              | TH        |    3217000 | PA      | $104568.06    | 0.05%             | 2036-05-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KI 1.125% 10/22/73/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 1.12500000                                                  | CUSIP: G4527HXA4<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $222763.24    | 0.11%             | 2073-10-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO V/R 09/15/81/EUR/        | SOUTHERN CO /EUR/ REGD V/R 1.87500000                                                            | CUSIP: U84258AF6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $115731.53    | 0.06%             | 2081-09-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED KIN 1.25% 07/31/51/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 1.25000000                                                  | CUSIP: G4527HUU3<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $804737.53    | 0.41%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/       | NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000                                                   | CUSIP: K7S724JW8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         10 | PA      | $1.09         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED KI 0.625% 10/22/50/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 0.62500000                                                  | CUSIP: G4527HSJ1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    1400000 | PA      | $724132.69    | 0.37%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 12/20/51/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 73 0.70000000                                               | CUSIP: J2S39LSJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  180000000 | PA      | $628821.36    | 0.32%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 2.2% 06/20/54/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 83 2.20000000                                               | CUSIP: J2S39L3F9<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  202000000 | PA      | $1023188.11   | 0.52%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| MALAYSIA  2.632% 04/15/31/MYR/       | MALAYSIA GOVERNMENT /MYR/ REGD SER 0220 2.63200000                                               | CUSIP: Y2R35QHH7<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |     900000 | PA      | $223790.30    | 0.11%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP 2% 09/17/35/AUD/       | TREASURY CORP VICTORIA /AUD/ REGD 2.00000000                                                     | CUSIP: Q9194YPB4<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     400000 | PA      | $215529.39    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01E* 1.00000000                                     | CUSIP: K741813A2<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01E 1.00000000                                      | CUSIP: K741812Z8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.31         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MALAYSIA  3.582% 07/15/32/MYR/       | MALAYSIA GOVERNMENT /MYR/ REGD SER 0122 3.58200000                                               | CUSIP: Y2R35QDR9<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |     160000 | PA      | $41486.35     | 0.02%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| NEW S WALE 1.75% 03/20/34/AUD/       | NEW S WALES TREASURY CRP /AUD/ REGD REG S 1.75000000                                             | CUSIP: Q6715P7E3<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    1200000 | PA      | $670830.96    | 0.34%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA 6.625% 09/27/29/EUR/         | ROMANIA /EUR/ REGD REG S EMTN 6.62500000                                                         | CUSIP: X7360WCL4<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |     600000 | PA      | $785650.80    | 0.40%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/52/DKK/       | NYKREDIT REALKREDIT A/S /DKK/ REGD REG S SER 01EE 1.50000000                                     | CUSIP: K741813K0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA  3.519% 04/20/28/MYR/       | MALAYSIA GOVERNMENT /MYR/ REGD SER 0223 3.51900000                                               | CUSIP: Y2R35QFA4<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |   12523000 | PA      | $3250989.69   | 1.66%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 0.4% 06/20/40/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 173 0.40000000                                              | CUSIP: J2S39LDF8<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  100000000 | PA      | $474499.70    | 0.24%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND 5.25% 07/21/36/AUD/       | QUEENSLAND TREASURY CORP /AUD/ REGD 5.25000000                                                   | CUSIP: Q7943Q8Q5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    1000000 | PA      | $710568.12    | 0.36%             | 2036-07-21      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| QUEENSLAND TR 2% 08/22/33/AUD/       | QUEENSLAND TREASURY CORP /AUD/ REGD 2.00000000                                                   | CUSIP: Q7943QZ36<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     600000 | PA      | $348471.92    | 0.18%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVE 3.19% 04/15/53/CNY/       | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 3.19000000                                             | CUSIP: Y6S39BZ94<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |    4090000 | PA      | $698132.60    | 0.36%             | 2053-04-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| VMED O2 U 5.625% 04/15/32/EUR/       | VMED O2 UK FINANCING I /EUR/ REGD 144A P/P 5.62500000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | GB        |     500000 | PA      | $575121.42    | 0.29%             | 2032-04-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| AUSTRALIAN 1.75% 06/21/51/AUD/       | AUSTRALIAN GOVERNMENT /AUD/ REGD SER 162 1.75000000                                              | CUSIP: Q08184NC5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |      50000 | PA      | $18513.34     | 0.01%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KING 3.5% 01/22/45/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 3.50000000                                                  | CUSIP: G4527HDA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $780432.78    | 0.40%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OB 3.45% 10/31/34/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.45000000                                                   | CUSIP: E8922APQ7<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    5180000 | PA      | $6369910.13   | 3.26%             | 2034-10-31      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALK 1.5% 10/01/53/DKK/       | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000                                               | CUSIP: K5S69JBQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     443531 | PA      | $57303.12     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TITULOS DE T 11% 08/22/29/COP/       | TITULOS DE TESORERIA /COP/ REGD SER B 11.00000000                                                | CUSIP: P6S337KA2<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        | 2158400000 | PA      | $526026.94    | 0.27%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 03/20/51/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 70 0.70000000                                               | CUSIP: J2S39LMD3<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   60000000 | PA      | $215364.86    | 0.11%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC O 1.65% 03/03/33/EUR/       | REPUBLIC OF SERBIA /EUR/ REGD 144A P/P 1.65000000                                                | CUSIP: X77765CC1<br>LEI: N/A                  | Long             | DBT              | USGA              | RS        |     100000 | PA      | $102127.07    | 0.05%             | 2033-03-03      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT  1.5% 10/01/53/DKK/       | REALKREDIT DANMARK /DKK/ REGD REG S SER 27S 1.50000000                                           | CUSIP: K8094KZJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.25         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBL 1.9% 10/31/52/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.90000000                                                   | CUSIP: E8922AMF4<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |     500000 | PA      | $402407.17    | 0.21%             | 2052-10-31      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 06/20/51/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 71 0.70000000                                               | CUSIP: J2S39LQP2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  125000000 | PA      | $444518.27    | 0.23%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FOXCONN FAR EA 1.875% 08/25/28       | FOXCONN FAR EAST LTD REGD EMTN 1.87500000                                                        | CUSIP: G3R82SAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     400000 | PA      | $375056.94    | 0.19%             | 2028-08-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF S 1% 09/23/28/EUR/       | REPUBLIC OF SERBIA /EUR/ REGD 144A P/P MTN 1.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | USGA              | RS        |     100000 | PA      | $111806.96    | 0.06%             | 2028-09-23      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GO 2.75% 02/25/30/EUR/       | FRANCE (GOVT OF) /EUR/ REGD SER OAT 2.75000000                                                   | CUSIP: F26348DP8<br>LEI: N/A                  | Long             | DBT              | USGA              | FR        |    6000000 | PA      | $7185841.27   | 3.68%             | 2030-02-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| CHINA GOVE 1.92% 01/15/55/CNY/       | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 1.92000000                                             | CUSIP: Y603FQAA8<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |    2300000 | PA      | $307634.13    | 0.16%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| TITULOS D 13.25% 02/09/33/COP/       | TITULOS DE TESORERIA /COP/ REGD SER B 13.25000000                                                | CUSIP: P6S32JW71<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        | 1884100000 | PA      | $486497.36    | 0.25%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| UNITED KI 4.375% 07/31/54/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 4.37500000                                                  | CUSIP: G4527HF22<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $121275.02    | 0.06%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| THAILAND GO 2.7% 06/17/40/THB/       | THAILAND GOVERNMENT BOND /THB/ REGD 2.70000000                                                   | CUSIP: Y603CLBT0<br>LEI: N/A                  | Long             | DBT              | USGA              | TH        |    7300000 | PA      | $251599.16    | 0.13%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BONOS DE TE 7.3% 08/12/33/PEN/       | BONOS DE TESORERIA /PEN/ REGD 7.30000000                                                         | CUSIP: P6S32DFH1<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    1300000 | PA      | $443444.89    | 0.23%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| CHINA DEVE 2.63% 01/08/34/CNY/       | CHINA DEVELOPMENT BANK /CNY/ REGD SER 2405 2.63000000                                            | CUSIP: Y1456TPZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |   22220000 | PA      | $3404967.89   | 1.74%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 1.8% 03/20/54/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 82 1.80000000                                               | CUSIP: J2S39LY81<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   69400000 | PA      | $319756.43    | 0.16%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 1.7% 09/20/44/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 44 1.70000000                                               | CUSIP: J2615QTH8<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  210000000 | PA      | $1116568.47   | 0.57%             | 2044-09-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND 1.75% 07/20/34/AUD/       | QUEENSLAND TREASURY CORP /AUD/ REGD 1.75000000                                                   | CUSIP: Q7943QD89<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     200000 | PA      | $110097.32    | 0.06%             | 2034-07-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BONOS Y OBLIG 4% 10/31/54/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 4.00000000                                                   | CUSIP: E8922APG9<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |     200000 | PA      | $241446.61    | 0.12%             | 2054-10-31      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CHINA DEVE 2.82% 05/22/33/CNY/       | CHINA DEVELOPMENT BANK /CNY/ REGD SER 2310 2.82000000                                            | CUSIP: Y1456TPL4<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |    7600000 | PA      | $1175337.18   | 0.60%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 Y 2.2% 03/20/64/JPY/       | JAPAN (40 YEAR ISSUE) /JPY/ REGD SER 17 2.20000000                                               | CUSIP: J2S39L2J2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  120000000 | PA      | $564888.73    | 0.29%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SAUDI INT 3.375% 03/05/32/EUR/       | SAUDI INTERNATIONAL BOND /EUR/ REGD 144A P/P 3.37500000                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | USGA              | SA        |     500000 | PA      | $596730.81    | 0.31%             | 2032-03-05      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| PHILIP MOR 3.25% 06/06/32/EUR/       | PHILIP MORRIS INTL INC /EUR/ REGD 3.25000000                                                     | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     300000 | PA      | $354872.81    | 0.18%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 08/08/30/EUR/       | BARCLAYS PLC /EUR/ REGD V/R REG S EMTN 4.91800000                                                | CUSIP: G0809LJD2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $501800.61    | 0.26%             | 2030-08-08      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CHINA GOVE 2.19% 09/25/54/CNY/       | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.19000000                                             | CUSIP: Y6S39B8P8<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |   12700000 | PA      | $1793257.44   | 0.92%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BONOS DE TE 7.6% 08/12/39/PEN/       | BONOS DE TESORERIA /PEN/ REGD 7.60000000                                                         | CUSIP: P6S32DFJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |     900000 | PA      | $292405.51    | 0.15%             | 2039-08-12      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| BONOS Y OBL 3.5% 05/31/29/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.50000000                                                   | CUSIP: E8922ANY2<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |     240000 | PA      | $294796.06    | 0.15%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (5 YE 0.4% 06/20/29/JPY/       | JAPAN (5 YEAR ISSUE) /JPY/ REGD SER 171 0.40000000                                               | CUSIP: J2S39L3Z5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   50000000 | PA      | $310049.31    | 0.16%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| THAILAND G 2.98% 06/17/45/THB/       | THAILAND GOVERNMENT BOND /THB/ REGD 2.98000000                                                   | CUSIP: Y603CLBS2<br>LEI: N/A                  | Long             | DBT              | USGA              | TH        |    1000000 | PA      | $34400.06     | 0.02%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| BONOS Y OB 3.15% 04/30/35/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.15000000                                                   | CUSIP: E4R46FAA8<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    2560000 | PA      | $3069266.66   | 1.57%             | 2035-04-30      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| BONOS DE T 6.85% 08/12/35/PEN/       | BONOS DE TESORERIA /PEN/ REGD 6.85000000                                                         | CUSIP: P6S32DFK4<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    3400000 | PA      | $1085708.14   | 0.56%             | 2035-08-12      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| TITULOS D 11.75% 01/24/35/COP/       | TITULOS DE TESORERIA /COP/ REGD SER B 11.75000000                                                | CUSIP: P6S337RP2<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        | 2053500000 | PA      | $499851.51    | 0.26%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| UNITED KI 4.375% 03/07/30/GBP/       | UNITED KINGDOM GILT /GBP/ REGD REG S 4.37500000                                                  | CUSIP: G4527HN49<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    4200000 | PA      | $5806271.10   | 2.97%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  V/R 07/22/32/EUR/       | WELLS FARGO & COMPANY /EUR/ REGD V/R REG S EMTN 3.90000000                                       | CUSIP: U94974LV9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     500000 | PA      | $611244.16    | 0.31%             | 2032-07-22      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 1.8% 09/20/44/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 190 1.80000000                                              | CUSIP: J2S39L5C4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  130000000 | PA      | $702776.73    | 0.36%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| LETRA TESOUR ZCP 04/01/26/BRL/       | LETRA TESOURO NACIONAL /BRL/ REGD ZCP SER LTN 0.00000000                                         | CUSIP: P8T60NQH7<br>LEI: N/A                  | Long             | DBT              | USGA              | BR        |   20000000 | PA      | $3854167.68   | 1.97%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVE 1.65% 05/15/35/CNY/       | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 1.65000000                                             | CUSIP: Y6S39CAV0<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |    5600000 | PA      | $807420.15    | 0.41%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBL 2.4% 05/31/28/EUR/       | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 2.40000000                                                   | CUSIP: E4R46DAA3<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    2200000 | PA      | $2615332.86   | 1.34%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ESAIL 2007- V/R 06/13/45 /GBP/       | EUROSAIL-UK 2007-4BL PLC SER 2007-4X CL A3 V/R REGD REG S /GBP/ 4.85613000                       | CUSIP: G3299TAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |      75925 | PA      | $102253.11    | 0.05%             | 2045-06-13      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 2.4% 03/20/45/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 192 2.40000000                                              | CUSIP: J2S39L8A5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   74000000 | PA      | $438102.46    | 0.22%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEA 2% 12/20/44/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 191 2.00000000                                              | CUSIP: J2S39L6N9<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  180000000 | PA      | $1002313.73   | 0.51%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BULGARIA 3.375% 07/18/35/EUR/        | BULGARIA /EUR/ REGD REG S SER 10Y 3.37500000                                                     | CUSIP: X0R483BJ0<br>LEI: N/A                  | Long             | DBT              | USGA              | BG        |     300000 | PA      | $354610.90    | 0.18%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BULGARIA 4.125% 07/18/45/EUR/        | BULGARIA /EUR/ REGD REG S SER 20Y 4.12500000                                                     | CUSIP: X0R483BH4<br>LEI: N/A                  | Long             | DBT              | USGA              | BG        |     200000 | PA      | $233482.74    | 0.12%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TITULOS D 12.75% 11/28/40/COP/       | TITULOS DE TESORERIA /COP/ REGD SER B 12.75000000                                                | CUSIP: P6S337JZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | CO        | 2176300000 | PA      | $541978.08    | 0.28%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 3.2% 09/20/55/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 88 3.20000000                                               | CUSIP: J2615UBY1<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   60000000 | PA      | $373982.26    | 0.19%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NORTHERN TERR 6% 04/21/39/AUD/       | NORTHERN TERRITORY TREAS /AUD/ REGD REG S 6.00000000                                             | CUSIP: Q69608XD6<br>LEI: 254900V4FQ2K6E3VJ628 | Long             | DBT              | USGA              | AU        |     300000 | PA      | $218729.46    | 0.11%             | 2039-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF S 9% 01/31/40/ZAR/       | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2040 9.00000000                                          | CUSIP: S69124WH4<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |    2300000 | PA      | $150620.65    | 0.08%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 1.2% 09/20/35/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 154 1.20000000                                              | CUSIP: J2S39KKT2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  131000000 | PA      | $774947.36    | 0.40%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEA 1% 12/20/35/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 155 1.00000000                                              | CUSIP: J2S39KLV6<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  200000000 | PA      | $1154974.22   | 0.59%             | 2035-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC  8.875% 02/28/35/ZAR/       | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2035 8.87500000                                          | CUSIP: S69124WF8<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |   38400000 | PA      | $2553908.44   | 1.31%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 1.4% 09/20/45/JPY/       | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 48 1.40000000                                               | CUSIP: J2S39KKP0<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  240000000 | PA      | $1185691.14   | 0.61%             | 2045-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN  2.5% 05/21/30/AUD/       | AUSTRALIAN GOVERNMENT /AUD/ REGD SER 155 2.50000000                                              | CUSIP: Q2R04NBD5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     100000 | PA      | $66410.78     | 0.03%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 0.4% 03/20/36/JPY/       | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 156 0.40000000                                              | CUSIP: J2S39KMW3<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |   20000000 | PA      | $107972.85    | 0.06%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| EXPORT DEV 7.13% 03/11/29/INR/       | EXPORT DEVELOPMNT CANADA /INR/ REGD 144A P/P MTN 7.13000000                                      | CUSIP: C32148PP4<br>LEI: N/A                  | Long             | DBT              | USGA              | CA        |   27900000 | PA      | $308864.28    | 0.16%             | 2029-03-11      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49         | CASH COLLATERAL V/R 12/31/49 3.54000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     139000 | PA      | $139000.00    | 0.07%             | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL 0.5% 12/31/60        | CASH COLLATERAL LCH BCY USD    REGD 0.50000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    1329000 | PA      | $1329000.00   | 0.68%             | 2060-12-31      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL BCY USD              | CASH COLLATERAL BCY USD        /CCBCYXUS0/ 3.54000000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    1744000 | PA      | $1744000.00   | 0.89%             | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CASH COLL ISDA V/R 12/31/49          | CASH COLATERAL ISDA BPS USD 3.54000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     464000 | PA      | $464000.00    | 0.24%             | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL ISDA BRC             | CASH COLLATERAL ISDA BRC 3.54000000                                                              | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |    -330000 | PA      | $-330000.00   | -0.17%            | 2049-12-31      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL ISDA JPM USD         | CASH COLLATERAL ISDA JPM USD 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |    -150000 | PA      | $-150000.00   | -0.08%            | 2049-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                  | CCS GBP P US SOFR/GBP SONIA-30.05 GLM /SHORT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1808579.61  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CCS USD R US SOFR/GBP SONIA-30.05 GLM /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1787658.49   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3740700.78   | 1.92%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CCS JPY P USSOFR/JPYMUTKCALM-42.5 GLM /SHORT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3513782.36  | -1.80%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CCS JPY P USSOFR/JPYMUTKCALM  -42 GST /SHORT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15982666.26 | -8.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CCS USD R USSOFR/JPYMUTKCALM  -42 GST /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $17477993.21  | 8.95%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT 4.5426% 12/30/57 /AUD/       | PROJECT CASHMERE CLASS A1 144A /AUD/ REGD 4.54260000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | AU        |    2800000 | PA      | $1992479.84   | 1.02%             | 2057-12-30      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| CFOUR 4A AR V/R 04/15/38 /EUR/       | CAPITAL FOUR CLO IV DAC SER 4A CL ARR V/R REGD 144A P/P /EUR/ 3.17500000                         | CUSIP: G2094SAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $591095.40    | 0.30%             | 2038-04-15      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| ICGE 2023-2 V/R 01/26/38 /EUR/       | ICG EURO CLO 2023-2 DAC SER 2023-2A CL A1R V/R REGD 144A P/P /EUR/ 3.32000000                    | CUSIP: G47094AR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $591300.99    | 0.30%             | 2038-01-26      | Variable      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| GROSV 2024- V/R 01/15/39 /EUR/       | GROSVENOR PLACE CLO 2024-2 DAC SER 2024-2A CL A V/R REGD 144A P/P /EUR/ 3.25600000               | CUSIP: G4R829AF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $593251.22    | 0.30%             | 2039-01-15      | Variable      | 3.26%                 | Yes           |                  2 | On Loan: No      |
| PSTET 2025- V/R 07/15/35 /EUR/       | PALMER SQUARE EUROPEAN LOAN FUNDING  SER 2025-3A CL A V/R REGD 144A P/P /EUR/ 3.04700000         | CUSIP: G6879FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $589964.01    | 0.30%             | 2035-07-15      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| PRVD 2A ARR V/R 10/15/38 /EUR/       | PROVIDUS CLO II DAC SER 2A CL ARR V/R REGD 144A P/P /EUR/ 3.17600000                             | CUSIP: G7164GBM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $592832.64    | 0.30%             | 2038-10-15      | Variable      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| SPAUL 11A A V/R 01/17/32 /EUR/       | ST PAULS CLO SER 11A CL AR V/R REGD 144A P/P /EUR/ 2.87600000                                    | CUSIP: G8524HAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     379600 | PA      | $448786.77    | 0.23%             | 2032-01-17      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                  | CDX 2I65BYEI2 01.000 SP 12/20/2030 BARCUS3BXXX FIXED                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $292504.48    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CDX 2I65BYEI2 01.000 BP 12/20/2035 BARCUS3BXXX FLOAT                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-31293.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CDS US50064FAM68 01.000 BP 12/20/2030 GSILGB2XXXX LONG                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-21338.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CDS NA 01.000 NA 12/20/2032 BARCUS3BXXX FIXED                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $218.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CDS US455780CY00 01.000 BP 06/20/2026 CHASUS33XXX LONG                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-15358.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CXT 2I667KMH8 05.000 SP 12/20/2030 BNPAFRPPXXX LONG                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $23830.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CXT 2I667KMH8 05.000 SP 12/20/2030 CHASUS33XXX LONG                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |          1 | NC      | $119151.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | CDS NA 04.750 SP 07/06/2026 DUB LONG                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $1366.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.05PMUTK 12/15/31 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-272552.91   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP01.00 12/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $25387.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PMUTKR00.40 06/19/39 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $109395.02    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.00PMUTK 03/17/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-36096.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.30PSS1D 02/15/27 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CH        |          1 | NC      | $1059.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.70PER6M 04/11/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-4185.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.65PER6M 04/12/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-11082.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.65PER6M 05/11/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-6651.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.00PER6M 05/13/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-6977.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP02.96 11/30/26 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $40778.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.25PER6M 09/21/42 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-247766.76   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.00PER6M 03/19/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $234239.86    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS P03.25RCAON 06/21/53 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-1271.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.85PMUTK 09/20/33 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-26845.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.25 12/20/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-68987.30    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.50 12/20/38 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $61883.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.25 12/20/53 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $11392.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.98PSOFR 11/30/27 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $47946.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.75 12/20/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-27055.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.00 06/20/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $159.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.00PSO/N 06/17/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-80825.64    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.71PCAON 10/02/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-7808.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.00PMUTK 06/19/44 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-319110.09   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.00PMUTK 09/18/34 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-36112.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.89PCAON 06/19/26 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $26553.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.92PCAON 06/19/26 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $46537.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.25 12/18/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-5282.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.64 08/07/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-8553.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.59 08/19/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-3366.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.61 08/22/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-2969.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.00PMUTK 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-341633.81   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.85PCAON 09/01/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $12498.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.86 02/28/29 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-25641.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.85 02/28/29 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-17172.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.84 05/15/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-8165.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.83 05/15/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-13178.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.90 08/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-733.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.02 05/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $1365.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.18 06/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-37266.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.00PMUTK 03/19/32 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-171444.77   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.75PMUTK 03/19/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-2885.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.50PBW6M 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-8410.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP02.88 09/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-3918.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.79PESTR 10/11/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-24815.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.25PBW6M 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-26955.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.00 03/19/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $203326.61    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PSOFRR03.25 03/19/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $49578.74     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.92PESTR 10/11/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-6009.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP02.85 06/01/33 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-2429.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.47PST3M 02/03/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SE        |          1 | NC      | $5655.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-2695.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-2695.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.00 06/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-3160.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.25PMUTK 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-245393.85   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |          1 | NC      | $-4042.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.00PSO/N 03/17/28 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $189516.25    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.95 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-1732.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.95 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-3791.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.96 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-3110.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.99 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-6540.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.12 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-22201.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.11 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-23279.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.90 03/04/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-12021.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.80 02/15/55 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $3479.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.77 03/04/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $11104.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS P03.75RSOFR 09/17/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $57488.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.50PBW6M 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-16174.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.90 03/12/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5985.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.25 06/18/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $16308.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.77 02/15/55 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $2345.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.50PBW6M 06/18/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-5563.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.93 03/24/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-9667.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.88 03/25/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-14106.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.93 06/25/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-1104.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.96 06/27/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-3529.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.06 06/26/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5940.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.00 09/29/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-2277.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.75 05/15/32 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-35511.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R00.45PER6M 05/27/50 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-79666.61    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RMUTKP02.25 09/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $12331.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.50PBW6M 03/18/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-779091.79   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.50PSO/N 03/18/28 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $45267.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.75PSO/N 03/18/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $119010.92    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSO/NP04.00 03/18/36 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-74016.40    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PSO/NR04.50 03/18/56 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-17460.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R04.25PBW6M 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-24754.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RBW6MP03.75 03/18/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $148737.91    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.45PSOFR 06/30/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-6864.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.50 03/18/28 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-41489.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.50 03/18/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-57062.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.00 03/18/36 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-349750.17   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.00 03/18/56 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-14728.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.75PER6M 03/18/36 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $15910.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RNF3FP03.50 03/18/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | NZ        |          1 | NC      | $9.89         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSO/NP03.50 09/17/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-1213.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R03.75PSO/N 09/17/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $2678.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSO/NP04.00 09/17/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-22193.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSO/NP04.50 09/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $-15638.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.75PKWDC 03/18/36 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | KR        |          1 | NC      | $-1056.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PIN00R05.75 03/18/31 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | IN        |          1 | NC      | $3343.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PSG1DR01.50 03/18/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |          1 | NC      | $2030.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS P01.50RMUTK 03/18/36 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-17932.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.50PMUTK 12/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |          1 | NC      | $-13558.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.75 12/17/30 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-2325.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.75 12/17/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-152540.05   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.75 12/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $34832.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RER6MP02.82 09/19/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $50248.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RNF3FP02.50 03/12/28 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | NZ        |          1 | NC      | $17637.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.29 05/31/30 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-20164.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.64 08/15/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-2210.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.70 08/15/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-3171.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.37 05/31/30 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-50768.78    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP03.71 08/15/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-4810.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.50PCN07 03/17/32 BOA LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |          1 | NC      | $-56612.28    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.50PCN07 03/17/32 BPS LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |          1 | NC      | $-53823.91    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R01.50PCN07 03/17/32 SCX LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |          1 | NC      | $-7604.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.22 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-10357.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.23 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5296.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.22 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5212.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.22 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5220.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.22 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-10253.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.22 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5166.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.24 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-16532.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.24 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-27802.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSOFRP04.23 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-5315.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RER3MP02.35 12/15/28 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-6312.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.17PESTR 12/15/28 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |          1 | NC      | $6079.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS RSG1DP01.75 09/16/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |          1 | NC      | $-22076.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS R02.50PER6M 09/16/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $62136.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS P03.00RER6M 09/16/56 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $1062.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | IRS PER6MR02.25 09/16/28 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          1 | NC      | $-4859.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | TRS SOFRINDX/IBOXIG INDX 03/20/26 BPS /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |          1 | NC      | $-111011.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Morgan Stanley Pathway Funds

**Signature:** James F. Kirchner

**Name of Signer:** James F. Kirchner

**Title:** Chief Financial Officer