# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001145549-23-013502
**Filing Date:** 2023-2
**Character Count:** 217290
**Document Hash:** 2ebe14c5251e80701dc21b4c64f94d11
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013502.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-013502

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691
- **IRS NUMBER:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 23683230

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $2831363286.49

**Total Liabilities:** $1294884319.60

**Net Assets:** $1536478966.89

**Delayed Delivery Securities:** $894683435.62

**Cash Not Reported:** $17884028.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1112.904983452276 | **1-Year:** -1551.332032623305 | **5-Year:** -7074.988810257820 | **10-Year:** -16692.900936432204 | **30-Year:** -17268.037583996895

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

- **3-Month:** -514.358588982400 | **1-Year:** -7774.688130912560 | **5-Year:** -6622.117444339786 | **10-Year:** -17209.869362808798 | **30-Year:** -5292.596222802954

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000029602 | 1.51%                | 1.76%                | -1.18%               |
| Class ID C000067998 | 1.57%                | 1.81%                | -1.16%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $910793.70               | $18449491.50                               |
| Month 2  | $-2327102.84             | $25767351.72                               |
| Month 3  | $9883707.01              | $-37462499.43                              |

**Designated Index Information**

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

- **Index Identifier:** LHMN1551

### Schedule of Portfolio Investments

| Name                                                                         | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |      93848 | PA      | $266.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    8838303 | PA      | $866.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities                                                       | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | N/A              | DFE              | CORP              | US        |     659280 | PA      | $-12982.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     570059 | PA      | $1864.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |       3207 | PA      | $-42.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     125378 | PA      | $147.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                          | EURO DOLLAR                                                                  | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |    1220000 | PA      | $9043.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     472812 | PA      | $1331.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     285840 | PA      | $1229.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                  | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | US        |   30819811 | PA      | $240534.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |    1274769 | PA      | $2436.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co., Inc.                                                   | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DFE              | CORP              | US        |    5580298 | PA      | $51303.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | JAPANESE YEN                                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | JP        |  152000000 | PA      | $3123.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    1553427 | PA      | $-79528.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                          | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |   10259269 | PA      | $13391.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                          | EURO DOLLAR                                                                  | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |     741000 | PA      | $3675.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     288488 | PA      | $908.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                          | EURO DOLLAR                                                                  | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |    1442000 | PA      | $8006.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     288488 | PA      | $956.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | PE        |     910603 | PA      | $12502.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     555670 | PA      | $1520.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                                  | MEXICAN PESO                                                                 | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DFE              | CORP              | MX        |   15924139 | PA      | $32925.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |   27178642 | PA      | $-908798.58   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | PERUVIAN NUEVO SOL                                                           | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | PE        |     283067 | PA      | $1018.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |      75029 | PA      | $-927.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, Inc.                                                               | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |    4671710 | PA      | $-160127.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities, LLC                                                          | UNITED STATES DOLLAR                                                         | CUSIP: N/A<br>LEI: T6FIZBDPKLYJKFCRVK44       | N/A              | DFE              | CORP              | US        |  102384976 | PA      | $-2196670.83  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                      | EURO DOLLAR                                                                  | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | N/A              | DFE              | CORP              | US        |     923000 | PA      | $3712.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                         | OPTION INFLATION FLOOR OR CAP                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |       -194 | PA      | $-29.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                         | OPTION INFLATION FLOOR OR CAP                                                | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |        -17 | PA      | $-3.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   51400000 | PA      | $73743.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |  -28300000 | PA      | $-90555.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |   18100000 | PA      | $14695.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS                                                                | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DIR              | CORP              | US        |  -10000000 | PA      | $-19841.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   37000000 | PA      | $0.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   -8100000 | PA      | $-1.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |   37100000 | PA      | $0.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: AC28XWWI3WIBK2824319       | N/A              | DIR              | CORP              | US        |   -8100000 | PA      | $-2.51        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                             | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |  -69600000 | PA      | $-4578606.77  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                             | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DIR              | CORP              | US        |   14100000 | PA      | $3127376.90   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                         | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |   68300000 | PA      | $0.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                         | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DIR              | CORP              | US        |  -15200000 | PA      | $-1.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |   64100000 | PA      | $125.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | SWAPTION INTEREST RATE                                                       | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DIR              | CORP              | US        |  -14200000 | PA      | $-330.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -198 | NC      | $313661.03    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |      -2025 | NC      | $2789812.06   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                    | FUTURE - CASH SETTLED                                                        | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |        669 | NC      | $-5792839.83  | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        520 | NC      | $-727628.96   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                    | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DIR              | CORP              | GB        |          7 | NC      | $-55703.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -321 | NC      | $2760217.89   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA SECURITIES EXCHANGE                                                    | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |        -68 | NC      | $1372570.67   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -95 | NC      | $897638.37    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -162 | NC      | $606190.47    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | OPTION BOOKED AS A FUTURE                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -18 | NC      | $14279.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | OPTION BOOKED AS A FUTURE                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -18 | NC      | $-91667.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        143 | NC      | $-1302962.02  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   19000000 | PA      | $1556239.06   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3800000 | PA      | $-1036386.45  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |   60000000 | PA      | $9025.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | JP        |  792690000 | PA      | $131301.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    8500000 | PA      | $-233707.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2500000 | PA      | $-257946.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    5800000 | PA      | $-612019.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2800000 | PA      | $-298736.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    3200000 | PA      | $-293875.87   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    3910000 | PA      | $-224811.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     200000 | PA      | $-8628.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   13700000 | PA      | $-3604519.73  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    4600000 | PA      | $2122432.39   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   39900000 | PA      | $-10812638.75 | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   13300000 | PA      | $6297188.14   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED IRS                                                         | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    8100000 | PA      | $240345.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    8500000 | PA      | $441344.97    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10364000 | PA      | $862874.66    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    8300000 | PA      | $627647.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   10300000 | PA      | $-2478087.43  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1100000 | PA      | $28431.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   12100000 | PA      | $-2747571.22  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    1700000 | PA      | $198557.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2100000 | PA      | $351696.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    4900000 | PA      | $172226.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    7900000 | PA      | $-653914.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    7600000 | PA      | $798853.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |   15200000 | PA      | $-3335103.41  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2700000 | PA      | $-414339.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |   12200000 | PA      | $-3325425.39  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |     410000 | PA      | $-93337.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    4580000 | PA      | $-1147435.41  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3700000 | PA      | $529667.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    4500000 | PA      | $615629.79    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2400000 | PA      | $-33552.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2700000 | PA      | $89225.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     570000 | PA      | $-63737.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    4400000 | PA      | $80850.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    6200000 | PA      | $294460.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2000000 | PA      | $101250.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    4000000 | PA      | $113668.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2500000 | PA      | $91298.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1400000 | PA      | $135572.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8700000 | PA      | $798538.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    6500000 | PA      | $465129.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     900000 | PA      | $66189.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |     800000 | PA      | $48327.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1900000 | PA      | $100362.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   14500000 | PA      | $-2140856.12  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     500000 | PA      | $-137534.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    1420000 | PA      | $14526.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    4700000 | PA      | $-1100442.99  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    4700000 | PA      | $43262.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    9300000 | PA      | $-1568856.01  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    5300000 | PA      | $-40166.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10000000 | PA      | $-144531.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   11800000 | PA      | $1947453.68   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    7700000 | PA      | $-56068.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    3000000 | PA      | $207747.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2000000 | PA      | $-458401.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     800000 | PA      | $-64740.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |     300000 | PA      | $-23269.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2200000 | PA      | $59840.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2200000 | PA      | $-532493.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    5300000 | PA      | $-76598.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1000000 | PA      | $-13510.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    2000000 | PA      | $114256.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   16800000 | PA      | $1750403.54   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    6100000 | PA      | $-758900.83   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    6380000 | PA      | $61173.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    2000000 | PA      | $-22236.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   19770000 | PA      | $1788254.94   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |   10040000 | PA      | $-914184.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    1490000 | PA      | $128049.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    8700000 | PA      | $-740940.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    5500000 | PA      | $518976.79    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    4700000 | PA      | $450607.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | GB        |    6500000 | PA      | $551990.11    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | XX        |    1000000 | PA      | $-50676.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    4850000 | PA      | $358137.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH CLEARNET                                                                 | EXCHANGE CLEARED INFLATION INDEXED SWAP                                      | CUSIP: N/A<br>LEI: 213800WAVVOPS85N2205       | N/A              | DIR              | CORP              | US        |    2200000 | PA      | $-426363.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                                    | EXCHANGE CLEARED CDS - SINGLE NAME                                           | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |    -700000 | PA      | $43829.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   50000000 | PA      | $-2382254.43  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   20000000 | PA      | $-450899.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   10000000 | PA      | $9162.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   20000000 | PA      | $28243.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   20000000 | PA      | $61815.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   25000000 | PA      | $122393.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   50000000 | PA      | $54444.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   25000000 | PA      | $442.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   25000000 | PA      | $28040.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   25000000 | PA      | $74071.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   50000000 | PA      | $483211.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | TOTAL RETURN SWAP                                                            | CUSIP: N/A<br>LEI: 9R7GPTSO7KV3UQJZQ078       | N/A              | DIR              | CORP              | US        |   15000000 | PA      | $14017.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -43 | NC      | $-13636.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -348 | NC      | $82558.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX EXCHANGE                                                               | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -7 | NC      | $84770.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -372 | NC      | $246649.53    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         29 | NC      | $-22079.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                       | FUTURE - PHYSICALLY DELIVERED                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -85 | NC      | $724417.65    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                               | FUTURE - CASH SETTLED                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        -44 | NC      | $192773.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE                                               | FUTURE - CASH SETTLED                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        -72 | NC      | $64976.70     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                | Bear Stearns ARM Trust 2004-1                                                | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39397 | PA      | $36132.03     | 0.00%             | 2034-02-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust 2007-1                                               | CIT Mortgage Loan Trust 2007-1                                               | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1777900.11   | 0.12%             | 2023-02-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                                    | Residential Asset Mortgage Products, Inc.                                    | CUSIP: 760985R37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     576394 | PA      | $562465.08    | 0.04%             | 2034-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust 2004-1                                                | SLM Student Loan Trust 2004-1                                                | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-CBDO         | CORP              | US        |    1892948 | PA      | $1792479.78   | 0.12%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE1                      | Securitized Asset Backed Receivables LLC Trust 2006-HE1                      | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2668141 | PA      | $859859.18    | 0.06%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| U.S. Small Business Administration                                           | U.S. Small Business Administration                                           | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      86074 | PA      | $85435.67     | 0.01%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd                                                       | Sound Point CLO IX Ltd                                                       | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1166721.60   | 0.08%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7353000 | PA      | $14939473.63  | 0.97%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9680000 | PA      | $13819228.14  | 0.90%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33150000 | PA      | $38924934.55  | 2.53%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47900000 | PA      | $48966147.41  | 3.19%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58200000 | PA      | $54689281.24  | 3.56%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO 2016-1 DAC                                              | BlueMountain EUR CLO 2016-1 DAC                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     899180 | PA      | $937251.18    | 0.06%             | 2032-04-28      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Adagio V CLO Designated Activity Company                                     | Adagio V CLO Designated Activity Company                                     | CUSIP: N/A<br>LEI: 6354009XYAVGD2ZFCM19       | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1039622.69   | 0.07%             | 2031-10-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Arm Trust 2005-6                                                | Bear Stearns Arm Trust 2005-6                                                | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86748 | PA      | $77793.73     | 0.01%             | 2035-03-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| CWMBS, Inc.                                                                  | CWMBS, Inc.                                                                  | CUSIP: 12669FN58<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-MBS          | CORP              | US        |       7309 | PA      | $7092.62      | 0.00%             | 2034-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-1T1                                              | Alternative Loan Trust 2007-1T1                                              | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2187282 | PA      | $846284.09    | 0.06%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 31409BFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      26762 | PA      | $26925.69     | 0.00%             | 2036-03-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust 2007-1                                            | CSMC Mortgage-Backed Trust 2007-1                                            | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     599712 | PA      | $149733.94    | 0.01%             | 2037-02-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-8                                 | CWABS Asset-Backed Certificates Trust 2007-8                                 | CUSIP: 12669WAA4<br>LEI: 549300X70WTYWZ2HGN95 | Long             | ABS-CBDO         | CORP              | US        |    4021016 | PA      | $3578256.29   | 0.23%             | 2036-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO II Ltd                                                   | Capital Four US CLO II Ltd                                                   | CUSIP: 14016CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $499253.00    | 0.03%             | 2030-10-21      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO 2013-1, Ltd                             | Carlyle Global Market Strategies CLO 2013-1, Ltd                             | CUSIP: 14310BAU5<br>LEI: 549300CVBX8ZUYQV3Q10 | Long             | ABS-CBDO         | CORP              | US        |    1483038 | PA      | $1463513.49   | 0.10%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 11 Ltd                                                 | Anchorage Capital CLO 11 Ltd                                                 | CUSIP: 03330NAJ3<br>LEI: 549300NPGT86ACOLIL14 | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1173387.60   | 0.08%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXVI                                                              | Apidos CLO XXVI                                                              | CUSIP: 03766GAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1383681.60   | 0.09%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXVII                                                             | Apidos CLO XXVII                                                             | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1381422.00   | 0.09%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO 2017-1, Ltd.                                                  | Carlyle US CLO 2017-1, Ltd.                                                  | CUSIP: 14314BAL1<br>LEI: 549300VZ0HS3D307K776 | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1373380.40   | 0.09%             | 2031-04-21      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust 2006-AM1                                 | MASTR Asset Backed Securities Trust 2006-AM1                                 | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      50044 | PA      | $45290.91     | 0.00%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                   | Merrill Lynch Mortgage Investors Trust, Series MLCC 2003-C                   | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30118 | PA      | $27175.10     | 0.00%             | 2033-02-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                          | Merrill Lynch Mortgage Capital Inc.                                          | CUSIP: 59020UAC9<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-MBS          | CORP              | US        |      53686 | PA      | $49618.22     | 0.00%             | 2034-02-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| OZLM VIII, Ltd.                                                              | OZLM VIII, Ltd.                                                              | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     896562 | PA      | $882742.47    | 0.06%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                        | Octagon Investment Partners 18-R Ltd.                                        | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1478581.50   | 0.10%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24600000 | PA      | $29689707.68  | 1.93%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6993000 | PA      | $8439123.79   | 0.55%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16850000 | PA      | $17092792.38  | 1.11%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Grifonas Finance No.1 PLC                                                    | Grifonas Finance No.1 PLC                                                    | CUSIP: N/A<br>LEI: 2138001BQMIKJQ4HNR60       | Long             | ABS-MBS          | CORP              | GR        |     455202 | PA      | $448000.97    | 0.03%             | 2039-08-28      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                     | Eurosail-UK 2007-3BL PLC                                                     | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     199732 | PA      | $237851.47    | 0.02%             | 2045-06-13      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Contego CLO IV Designated Activity Company                                   | Contego CLO IV Designated Activity Company                                   | CUSIP: N/A<br>LEI: 635400H7QVHLSOZWVU92       | Long             | ABS-CBDO         | CORP              | DE        |     499093 | PA      | $518187.79    | 0.03%             | 2030-01-23      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Harvest CLO XXI Designated Activity Company                                  | Harvest CLO XXI Designated Activity Company                                  | CUSIP: N/A<br>LEI: 635400UREZHY9PWJR290       | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $618917.41    | 0.04%             | 2031-07-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2022-2 Designated Activity Company       | Palmer Square European Loan Funding 2022-2 Designated Activity Company       | CUSIP: N/A<br>LEI: 549300EL5O20QDEIMO98       | Long             | ABS-CBDO         | CORP              | IE        |     970776 | PA      | $1014081.73   | 0.07%             | 2031-10-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| HM Treasury                                                                  | HM Treasury                                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    3900000 | PA      | $5609698.15   | 0.37%             | 2041-08-10      | Fixed         | 0.13%                 | Yes           |                  2 | On Loan: No      |
| Gouvernement De France                                                       | Gouvernement De France                                                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   10500000 | PA      | $12759020.45  | 0.83%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2007-HE7                        | Bear Stearns Asset Backed Securities I Trust 2007-HE7                        | CUSIP: 07387VAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      12485 | PA      | $12455.09     | 0.00%             | 2037-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc. Trust 2007-R6                          | Bear Stearns Structured Products Inc. Trust 2007-R6                          | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225560 | PA      | $160500.76    | 0.01%             | 2046-12-26      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2017-I, Ltd.                                                    | CIFC Funding 2017-I, Ltd.                                                    | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | US        |     562438 | PA      | $556844.62    | 0.04%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO 2012-4, Ltd                             | Carlyle Global Market Strategies CLO 2012-4, Ltd                             | CUSIP: 14309YBQ6<br>LEI: 549300R4G5ROMXQ5CG20 | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $391717.20    | 0.03%             | 2032-04-22      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Magnetite XVIII Ltd                                                          | Magnetite XVIII Ltd                                                          | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1157709 | PA      | $1143302.69   | 0.07%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Marathon Static CLO 2022-18 Ltd                                              | Marathon Static CLO 2022-18 Ltd                                              | CUSIP: 56586PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $796867.20    | 0.05%             | 2030-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-10                                | MASTR Adjustable Rate Mortgages Trust 2004-10                                | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47569 | PA      | $43852.49     | 0.00%             | 2033-12-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                                                     | Regatta VIII Funding Ltd                                                     | CUSIP: 75888KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1777552.20   | 0.12%             | 2030-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20613000 | PA      | $41374764.28  | 2.69%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23850000 | PA      | $37747854.99  | 2.46%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8840000 | PA      | $9152474.00   | 0.60%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Toro European CLO 7 Designated Activity Company                              | Toro European CLO 7 Designated Activity Company                              | CUSIP: N/A<br>LEI: 635400B4VLIGNRNR9O61       | Long             | ABS-CBDO         | CORP              | IE        |    1800000 | PA      | $1850492.03   | 0.12%             | 2034-02-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO 2015-1 Designated Activity Company                         | Black Diamond CLO 2015-1 Designated Activity Company                         | CUSIP: N/A<br>LEI: 635400M6BTF6EBHINU93       | Long             | ABS-CBDO         | CORP              | US        |      30548 | PA      | $30509.69     | 0.00%             | 2029-10-03      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securities 32 PLC                                       | Residential Mortgage Securities 32 PLC                                       | CUSIP: N/A<br>LEI: 54930041T52UP3IPLN03       | Long             | ABS-MBS          | CORP              | GB        |    1381111 | PA      | $1661036.90   | 0.11%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Jubilee CLO 2015-XVI Designated Activity Company                             | Jubilee CLO 2015-XVI Designated Activity Company                             | CUSIP: N/A<br>LEI: 724500KP4E8XGHMPQZ62       | Long             | ABS-CBDO         | CORP              | LU        |    1146038 | PA      | $1212529.61   | 0.08%             | 2029-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd                                                          | Birch Grove CLO Ltd                                                          | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $684744.90    | 0.04%             | 2031-06-16      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd 2015-I                                                      | CIFC Funding Ltd 2015-I                                                      | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1773937.80   | 0.12%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2018-III Ltd                                                    | CIFC Funding 2018-III Ltd                                                    | CUSIP: 12551YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $688724.40    | 0.04%             | 2031-07-18      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust 2007-1                                               | CIT Mortgage Loan Trust 2007-1                                               | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     510557 | PA      | $506598.77    | 0.03%             | 2024-08-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Marathon CLO V Ltd.                                                          | Marathon CLO V Ltd.                                                          | CUSIP: 56576QAN8<br>LEI: 635400LRBGQZIPTCBI09 | Long             | ABS-CBDO         | CORP              | KY        |      24071 | PA      | $24018.82     | 0.00%             | 2027-11-22      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co., Ltd.                                                       | Nissan Motor Co., Ltd.                                                       | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | US        |     300000 | PA      | $272164.98    | 0.02%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1       | Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1       | CUSIP: 65536HAH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2637016 | PA      | $2521264.38   | 0.16%             | 2035-05-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd                                                                | OZLM XXIV Ltd                                                                | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $584923.80    | 0.04%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Limited                                              | Park Aerospace Holdings Limited                                              | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199499.60    | 0.01%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20770000 | PA      | $15174740.11  | 0.99%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Dryden 52 Euro CLO 2017 B.V.                                                 | Dryden 52 Euro CLO 2017 B.V.                                                 | CUSIP: N/A<br>LEI: 635400V5VX7XDQVRNU55       | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $415026.11    | 0.03%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Armada Euro Clo III Designated Activity Company                              | Armada Euro Clo III Designated Activity Company                              | CUSIP: N/A<br>LEI: 549300236OBWCGBX8R96       | Long             | ABS-CBDO         | CORP              | IE        |    2500000 | PA      | $2590075.65   | 0.17%             | 2031-07-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company | Carlyle Global Market Strategies Euro CLO 2014-2 Designated Activity Company | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $722632.30    | 0.05%             | 2031-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                            | BDS 2022-FL11 LLC                                                            | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1532109.92   | 0.10%             | 2039-03-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities, Inc.                                    | Banc of America Mortgage Securities, Inc.                                    | CUSIP: 05949A6C9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-MBS          | CORP              | US        |      14885 | PA      | $12914.53     | 0.00%             | 2035-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust 2006-3                                              | Bear Stearns ALT-A Trust 2006-3                                              | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135327 | PA      | $123553.82    | 0.01%             | 2036-01-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                                                | Crestline Denali CLO XV, Ltd.                                                | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | US        |    2890148 | PA      | $2848887.90   | 0.19%             | 2030-04-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF17                                 | First Franklin Mortgage Loan Trust 2006-FF17                                 | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5483967 | PA      | $4528710.10   | 0.29%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 Ltd                                                           | M360 2021-CRE3 Ltd                                                           | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $481144.25    | 0.03%             | 2038-11-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A10                              | Residential Asset Securitization Trust 2006-A10                              | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184632 | PA      | $72243.85     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $3103609.44   | 0.20%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49100000 | PA      | $51024507.18  | 3.32%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2015-1 Ltd                                                          | Voya CLO 2015-1 Ltd                                                          | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | US        |    1321369 | PA      | $1307918.65   | 0.09%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No.1 PLC                                                | Great Hall Mortgages No.1 PLC                                                | CUSIP: N/A<br>LEI: 213800TM9KICQKGTYR78       | Long             | ABS-MBS          | CORP              | GB        |      35977 | PA      | $42877.98     | 0.00%             | 2039-03-18      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Bastille Euro CLO 2020-3 Designated Activity Company                         | Bastille Euro CLO 2020-3 Designated Activity Company                         | CUSIP: N/A<br>LEI: 2138006IJX5FOJF25485       | Long             | ABS-CBDO         | CORP              | XX        |     500000 | PA      | $516128.46    | 0.03%             | 2034-01-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria, S.A.                                        | Banco Bilbao Vizcaya Argentaria, S.A.                                        | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | DBT              | CORP              | ES        |     200000 | PA      | $205235.14    | 0.01%             | 2500-12-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                     | Lloyds Banking Group PLC                                                     | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $610104.83    | 0.04%             | 2500-12-31      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                      | Segretariato Generale Della Presidenza Della Repubblica                      | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |   38300000 | PA      | $41801853.15  | 2.72%             | 2025-05-26      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Gouvernement De France                                                       | Gouvernement De France                                                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    2000000 | PA      | $2352508.92   | 0.15%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Gouvernement De France                                                       | Gouvernement De France                                                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    5000000 | PA      | $5386926.21   | 0.35%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Jubilee CLO 2015-XV B.V.                                                     | Jubilee CLO 2015-XV B.V.                                                     | CUSIP: N/A<br>LEI: 724500X2UX58WD68DT54       | Long             | ABS-CBDO         | CORP              | LU        |      41102 | PA      | $43894.13     | 0.00%             | 2028-07-12      | Floating      | 0.29%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding 2020-3, Ltd.                                      | Palmer Square Loan Funding 2020-3, Ltd.                                      | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2049347 | PA      | $2020608.85   | 0.13%             | 2029-07-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust 2007-OPT1                                          | Soundview Home Loan Trust 2007-OPT1                                          | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1487794 | PA      | $1028525.41   | 0.07%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Stratus CLO 2021-2, Ltd.                                                     | Stratus CLO 2021-2, Ltd.                                                     | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     533960 | PA      | $527505.73    | 0.03%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                      | Structured Asset Securities Corporation                                      | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81213 | PA      | $75699.09     | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Inc.                                | Structured Asset Mortgage Investments II Inc.                                | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5615 | PA      | $5173.14      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIV, Ltd.                                                       | Symphony CLO XIV, Ltd.                                                       | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |      41580 | PA      | $41561.37     | 0.00%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16497000 | PA      | $23825170.53  | 1.55%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15710000 | PA      | $18266994.95  | 1.19%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19826000 | PA      | $25079157.49  | 1.63%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17400000 | PA      | $18573946.25  | 1.21%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR9                     | WaMu Mortgage Pass-Through Certificates, Series 2006-AR9                     | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     808602 | PA      | $766828.49    | 0.05%             | 2046-08-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2016-1 Ltd                                                     | Wellfleet CLO 2016-1 Ltd                                                     | CUSIP: 94949RAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     626577 | PA      | $620740.78    | 0.04%             | 2028-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2022-2 Designated Activity Company       | Palmer Square European Loan Funding 2022-2 Designated Activity Company       | CUSIP: N/A<br>LEI: 549300EL5O20QDEIMO98       | Long             | ABS-CBDO         | CORP              | XX        |    4400000 | PA      | $4672566.41   | 0.30%             | 2032-04-12      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2006-FF10                                 | First Franklin Mortgage Loan Trust 2006-FF10                                 | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1541624 | PA      | $1443220.99   | 0.09%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | Government National Mortgage Association                                     | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2306045 | PA      | $2292200.81   | 0.15%             | 2072-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                            | IndyMac MBS, Inc.                                                            | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17309 | PA      | $16816.39     | 0.00%             | 2035-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust, Series 2007-15N                                             | Lehman XS Trust, Series 2007-15N                                             | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     444764 | PA      | $395448.88    | 0.03%             | 2047-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC4                                      | Citigroup Mortgage Loan Trust 2007-AMC4                                      | CUSIP: 17313BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1013592.96   | 0.07%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2018-3(A), Ltd.                                              | 522 Funding CLO 2018-3(A), Ltd.                                              | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $685224.40    | 0.04%             | 2031-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan U.S. Government Money Market Fund                                | J.P. Morgan U.S. Government Money Market Fund                                | CUSIP: 46699A9L2<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    1101637 | NS      | $1101637.41   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR CLO 9 Ltd.                                                               | KKR CLO 9 Ltd.                                                               | CUSIP: 48250LAW9<br>LEI: 549300C6QY0XRSC8FH09 | Long             | ABS-CBDO         | CORP              | US        |     464084 | PA      | $455410.39    | 0.03%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                             | MF1 2022-FL9 LLC                                                             | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1469709.45   | 0.10%             | 2037-06-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MP CLO VII, Ltd.                                                             | MP CLO VII, Ltd.                                                             | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | US        |    1016262 | PA      | $996836.39    | 0.06%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXVI, Ltd.                                              | Madison Park Funding XXVI, Ltd.                                              | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $297146.40    | 0.02%             | 2030-07-29      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXX, Ltd.                                               | Madison Park Funding XXX, Ltd.                                               | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | US        |     669879 | PA      | $661239.90    | 0.04%             | 2029-04-16      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RALI Series 2007-QH8 Trust                                                   | RALI Series 2007-QH8 Trust                                                   | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487755 | PA      | $414041.74    | 0.03%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                            | NatWest Group PLC                                                            | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1287517.40   | 0.08%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust 2008-9                                                | SLM Student Loan Trust 2008-9                                                | CUSIP: 78445JAA5<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-CBDO         | CORP              | US        |     763013 | PA      | $750545.61    | 0.05%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Saranac Clo II Limited                                                       | Saranac Clo II Limited                                                       | CUSIP: 80317EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     507484 | PA      | $502450.63    | 0.03%             | 2029-11-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Wind River 2019-3 CLO Ltd.                                                   | Wind River 2019-3 CLO Ltd.                                                   | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1557156.80   | 0.10%             | 2031-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK 2007-3BL PLC                                                     | Eurosail-UK 2007-3BL PLC                                                     | CUSIP: 29880YAG4<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     580569 | PA      | $691371.74    | 0.04%             | 2045-06-13      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| New Zealand Parliament                                                       | New Zealand Parliament                                                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    2500000 | PA      | $2046008.83   | 0.13%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                          | Cabinet Office, Government of Japan                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1501000000 | PA      | $12398474.27  | 0.81%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Segretariato Generale Della Presidenza Della Repubblica                      | Segretariato Generale Della Presidenza Della Repubblica                      | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    2900000 | PA      | $3160522.72   | 0.21%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XXI, Ltd.                                        | Octagon Investment Partners XXI, Ltd.                                        | CUSIP: 67590QBK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $687888.60    | 0.04%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-3                                          | Saxon Asset Securities Trust 2004-3                                          | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1573091.00   | 0.10%             | 2037-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                          | Cabinet Office, Government of Japan                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1755000000 | PA      | $14443866.55  | 0.94%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                   | Sound Point CLO IV-R, Ltd.                                                   | CUSIP: 83609YAC0<br>LEI: 549300PYVBTBHWS9X081 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $293637.60    | 0.02%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Wind River 2014-1 CLO Ltd.                                                   | Wind River 2014-1 CLO Ltd.                                                   | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | US        |     497951 | PA      | $486681.18    | 0.03%             | 2031-07-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust                                          | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56943 | PA      | $53590.81     | 0.00%             | 2045-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust                                          | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1871319 | PA      | $1516191.89   | 0.10%             | 2036-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-HY3                                           | Towd Point Mortgage Trust 2019-HY3                                           | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     644753 | PA      | $629878.56    | 0.04%             | 2027-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25934000 | PA      | $26266667.90  | 1.71%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6557 | PA      | $6018.57      | 0.00%             | 2035-08-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2015-1 Ltd                                                     | Wellfleet CLO 2015-1 Ltd                                                     | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     655316 | PA      | $646951.03    | 0.04%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2019 - Granite4 PLC                              | Towd Point Mortgage Funding 2019 - Granite4 PLC                              | CUSIP: N/A<br>LEI: 635400655NWVVZHH1395       | Long             | ABS-MBS          | CORP              | GB        |    3020641 | PA      | $3637214.72   | 0.24%             | 2051-10-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Cabinet Office, Government of Japan                                          | Cabinet Office, Government of Japan                                          | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  240000000 | PA      | $1978268.45   | 0.13%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007-A1                                  | Chase Mortgage Finance Trust Series 2007-A1                                  | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8703 | PA      | $8003.21      | 0.00%             | 2037-02-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      12051 | PA      | $11949.74     | 0.00%             | 2035-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                                              | First NLC Trust                                                              | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     206388 | PA      | $109768.11    | 0.01%             | 2037-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                 | GS Mortgage Securities Corp.                                                 | CUSIP: 362334ND2<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |     247910 | PA      | $133263.61    | 0.01%             | 2046-03-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2005-AR1                                             | GSR Mortgage Loan Trust 2005-AR1                                             | CUSIP: 36242DUL5<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |      22625 | PA      | $20700.82     | 0.00%             | 2035-01-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                            | IndyMac MBS, Inc.                                                            | CUSIP: 45660LDG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24189 | PA      | $23098.00     | 0.00%             | 2035-03-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                            | IndyMac MBS, Inc.                                                            | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75449 | PA      | $62782.16     | 0.00%             | 2045-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CBAM 2019-10, Ltd.                                                           | CBAM 2019-10, Ltd.                                                           | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $784392.00    | 0.05%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2               | C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2               | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     205000 | PA      | $187106.51    | 0.01%             | 2034-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                          | Credit-Based Asset Servicing and Securitization LLC                          | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      76073 | PA      | $50294.93     | 0.00%             | 2037-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15168000 | PA      | $22742574.68  | 1.48%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11085000 | PA      | $15756315.74  | 1.03%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25460000 | PA      | $27854355.50  | 1.81%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25700000 | PA      | $28755711.44  | 1.87%             | 2024-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87990000 | PA      | $91392519.28  | 5.95%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161378 | PA      | $134690.47    | 0.01%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Securities Corp.                                  | Washington Mutual Mortgage Securities Corp.                                  | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18880 | PA      | $17311.51     | 0.00%             | 2033-03-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                              | Arbor Realty Collateralized Loan Obligation Ltd                              | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1258438.74   | 0.08%             | 2037-01-16      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                | Bear Stearns ARM Trust 2004-1                                                | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29989 | PA      | $25196.04     | 0.00%             | 2035-01-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners Clo XII Ltd                                          | Benefit Street Partners Clo XII Ltd                                          | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $790195.20    | 0.05%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC3                                      | Citigroup Mortgage Loan Trust 2007-AMC3                                      | CUSIP: 17312EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1078851 | PA      | $901072.69    | 0.06%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-10                                        | Citigroup Mortgage Loan Trust 2007-10                                        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272456 | PA      | $234696.19    | 0.02%             | 2037-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      27412 | PA      | $26852.09     | 0.00%             | 2037-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                              | J.P. Morgan Mortgage Acquisition Trust 2006-Ch2                              | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      27956 | PA      | $27572.05     | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XII, Limited                                                        | AMMC CLO XII, Limited                                                        | CUSIP: 00176CAW1<br>LEI: 549300YZO1X7UK2OVY35 | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $788552.00    | 0.05%             | 2030-11-11      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO XXII Ltd                                                    | BlueMountain CLO XXII Ltd                                                    | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1100000 | PA      | $1080420.00   | 0.07%             | 2031-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Dryden 64 CLO, Ltd.                                                          | Dryden 64 CLO, Ltd.                                                          | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $589945.20    | 0.04%             | 2031-04-18      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| KKR CLO 11 Ltd                                                               | KKR CLO 11 Ltd                                                               | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $788430.40    | 0.05%             | 2031-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| LCM XVI Limited Partnership                                                  | LCM XVI Limited Partnership                                                  | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | US        |    3024259 | PA      | $2990616.91   | 0.19%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XV LP                                                                    | LCM XV LP                                                                    | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2215276 | PA      | $2181701.07   | 0.14%             | 2030-07-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Magnetite VIII, Limited                                                      | Magnetite VIII, Limited                                                      | CUSIP: 55952YAP2<br>LEI: 549300NJNSVWVLHGRY73 | Long             | ABS-CBDO         | CORP              | US        |     297019 | PA      | $292900.23    | 0.02%             | 2031-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO II                                                       | MidOcean Credit CLO II                                                       | CUSIP: 59863KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     641377 | PA      | $632738.15    | 0.04%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2019-GS2                                       | Mill City Mortgage Loan Trust 2019-GS2                                       | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     304445 | PA      | $281255.26    | 0.02%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Kayne CLO 5 Ltd                                                              | Kayne CLO 5 Ltd                                                              | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $489864.00    | 0.03%             | 2032-07-26      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                            | NatWest Group PLC                                                            | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1999622.00   | 0.13%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2007-3                                          | Saxon Asset Securities Trust 2007-3                                          | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     393494 | PA      | $369643.66    | 0.02%             | 2024-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7200000 | PA      | $7234231.63   | 0.47%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2640000 | PA      | $2590641.60   | 0.17%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Gobierno Federal de los Estados Unidos Mexicanos                             | Gobierno Federal de los Estados Unidos Mexicanos                             | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    3891000 | PA      | $186817.12    | 0.01%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| HM Treasury                                                                  | HM Treasury                                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    7100000 | PA      | $12852605.65  | 0.84%             | 2024-03-22      | Fixed         | 0.13%                 | Yes           |                  2 | On Loan: No      |
| OCP Euro CLO 2017-1 Designated Activity Company                              | OCP Euro CLO 2017-1 Designated Activity Company                              | CUSIP: N/A<br>LEI: 635400KNK84TMOLEE581       | Long             | ABS-CBDO         | CORP              | IE        |     592799 | PA      | $620569.71    | 0.04%             | 2032-01-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners VII Designated Activity Company            | Oak Hill European Credit Partners VII Designated Activity Company            | CUSIP: N/A<br>LEI: 5493002IYTC83ODTTK84       | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1759355.25   | 0.11%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Toro European CLO 5 Designated Activity Company                              | Toro European CLO 5 Designated Activity Company                              | CUSIP: N/A<br>LEI: 635400CNR8OQZHQBZR28       | Long             | ABS-CBDO         | CORP              | IE        |     799567 | PA      | $833701.39    | 0.05%             | 2030-10-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2015-3R                                                          | CSMC Series 2015-3R                                                          | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     848274 | PA      | $824697.94    | 0.05%             | 2036-09-29      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| CSMC Series 2015-12R                                                         | CSMC Series 2015-12R                                                         | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300000 | PA      | $2069019.30   | 0.13%             | 2037-12-03      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2022-2 Ltd                                                        | CQS US CLO 2022-2 Ltd                                                        | CUSIP: 12664BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2200000 | PA      | $2187774.60   | 0.14%             | 2031-07-21      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust 2007-12                                | CWABS Asset-Backed Certificates Trust 2007-12                                | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-CBDO         | CORP              | US        |      80961 | PA      | $78164.81     | 0.01%             | 2037-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                            | Crown Castle Inc.                                                            | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197482.60    | 0.01%             | 2023-07-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                      | Morgan Stanley ABS Capital Trust I Inc.                                      | CUSIP: 61744CFR2<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |     303476 | PA      | $282371.23    | 0.02%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1               | ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1               | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     349215 | PA      | $168591.51    | 0.01%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                               | Alternative Loan Trust 2005-43                                               | CUSIP: 12667GUG6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |      78540 | PA      | $46240.31     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                             | Morgan Stanley ABS Capital I Inc. Trust 2006-HE8                             | CUSIP: 61750SAF9<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |    1261601 | PA      | $556807.23    | 0.04%             | 2036-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                             | Morgan Stanley ABS Capital I Inc. Trust 2007-HE6                             | CUSIP: 61755CAA0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |      38785 | PA      | $33433.42     | 0.00%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO 2017-2 Ltd.                                                | Mountain View CLO 2017-2 Ltd.                                                | CUSIP: 62432HAJ9<br>LEI: 549300LS0QHHAUCM4P33 | Long             | ABS-CBDO         | CORP              | US        |    1821655 | PA      | $1796468.32   | 0.12%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2019-1 Limited                                                      | Voya CLO 2019-1 Limited                                                      | CUSIP: 92917NAJ7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $590527.80    | 0.04%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government of Canada                                                         | Government of Canada                                                         | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    3800000 | PA      | $5423960.80   | 0.35%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1197409 | PA      | $1179046.28   | 0.08%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                               | Palmer Square Loan Funding Ltd                                               | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2276450 | PA      | $2247206.45   | 0.15%             | 2029-10-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40947000 | PA      | $43620535.84  | 2.84%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $1250468.42   | 0.08%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8400000 | PA      | $9165349.20   | 0.60%             | 2025-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                        | Wells Fargo & Company                                                        | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        500 | NS      | $592500.00    | 0.04%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  1 | On Loan: No      |
| Great Hall Mortgages No.1 PLC                                                | Great Hall Mortgages No.1 PLC                                                | CUSIP: N/A<br>LEI: 213800TM9KICQKGTYR78       | Long             | ABS-MBS          | CORP              | GB        |      23175 | PA      | $27657.82     | 0.00%             | 2038-06-18      | Floating      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   50200000 | PA      | $48388091.24  | 3.15%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-HY11                                             | Alternative Loan Trust 2006-HY11                                             | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     308208 | PA      | $280314.40    | 0.02%             | 2036-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2                      | Securitized Asset Backed Receivables LLC Trust 2006-HE2                      | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     385992 | PA      | $149315.83    | 0.01%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund III Designated Activity Company                       | CVC Cordatus Loan Fund III Designated Activity Company                       | CUSIP: N/A<br>LEI: 213800XV458LVR3TU384       | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $728189.97    | 0.05%             | 2032-08-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18600000 | PA      | $12715707.84  | 0.83%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48500000 | PA      | $55679415.29  | 3.62%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57502000 | PA      | $65314170.81  | 4.25%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| VMC Finance 2022-FL5 LLC                                                     | VMC Finance 2022-FL5 LLC                                                     | CUSIP: 91835BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $680831.69    | 0.04%             | 2039-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Venture Xxv Clo Ltd                                                          | Venture Xxv Clo Ltd                                                          | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     231000 | PA      | $228400.96    | 0.01%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2002-Ar17 Trust               | Wamu Mortgage Pass-Through Certificates Series 2002-Ar17 Trust               | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41595 | PA      | $38433.01     | 0.00%             | 2033-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Dryden 44 Euro CLO 2015 BV                                                   | Dryden 44 Euro CLO 2015 BV                                                   | CUSIP: N/A<br>LEI: 635400YO6CJ2YJRXF230       | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $509409.25    | 0.03%             | 2034-04-17      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| Ares XL CLO, Ltd.                                                            | Ares XL CLO, Ltd.                                                            | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3635519 | PA      | $3589904.09   | 0.23%             | 2029-01-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLI, Ltd.                                               | Madison Park Funding XLI, Ltd.                                               | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2007572 | PA      | $1985861.80   | 0.13%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                                              | Avolon Holdings Funding Limited                                              | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |      89000 | PA      | $71850.93     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR4                                       | Citigroup Mortgage Loan Trust 2007-AR4                                       | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935878 | PA      | $820069.16    | 0.05%             | 2037-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     931815 | PA      | $918667.12    | 0.06%             | 2044-07-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UniCredit S.p.A.                                                             | UniCredit S.p.A.                                                             | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6808448.25   | 0.44%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     367000 | PA      | $363589.29    | 0.02%             | 2023-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     323000 | PA      | $320798.76    | 0.02%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Capital Inc.                                                   | Mitsubishi HC Capital Inc.                                                   | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394711.84    | 0.03%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd/LLC                                                      | OSD CLO 2021-23 Ltd/LLC                                                      | CUSIP: 671026AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1394759 | PA      | $1366763.27   | 0.09%             | 2031-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Comision De Promocion Del Peru Para La Exportacion Y El Turismo              | Comision De Promocion Del Peru Para La Exportacion Y El Turismo              | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1300000 | PA      | $314379.67    | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Ministry of Diwan Amiri Affairs                                              | Ministry of Diwan Amiri Affairs                                              | CUSIP: 74727PAW1<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1000000 | PA      | $995932.00    | 0.06%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                                               | Romark CLO Ltd                                                               | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $784078.40    | 0.05%             | 2030-10-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26550000 | PA      | $28086419.43  | 1.83%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14942000 | PA      | $14964841.65  | 0.97%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2012-4, Ltd.                                                        | Voya CLO 2012-4, Ltd.                                                        | CUSIP: 92916GBE3<br>LEI: 54930043I9VQ10YJ1Z07 | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $490988.00    | 0.03%             | 2030-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2013-1, Ltd.                                                        | Voya CLO 2013-1, Ltd.                                                        | CUSIP: 92917CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     796712 | PA      | $787629.86    | 0.05%             | 2030-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                    | Commonwealth of Australia                                                    | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    8920000 | PA      | $8829679.62   | 0.57%             | 2025-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Gouvernement De France                                                       | Gouvernement De France                                                       | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    3600000 | PA      | $4750558.68   | 0.31%             | 2024-07-25      | Fixed         | 0.25%                 | Yes           |                  2 | On Loan: No      |
| Blackrock European CLO IV Designated Activity Company                        | Blackrock European CLO IV Designated Activity Company                        | CUSIP: N/A<br>LEI: 635400RUFMRMBL1HMT43       | Long             | ABS-CBDO         | CORP              | US        |     998393 | PA      | $1044574.62   | 0.07%             | 2030-07-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO II Designated Activity Company                              | Man GLG Euro CLO II Designated Activity Company                              | CUSIP: N/A<br>LEI: 635400X2U1WG8KFSIE39       | Long             | ABS-CBDO         | CORP              | IE        |     457310 | PA      | $479907.16    | 0.03%             | 2030-01-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Toro European CLO 5 Designated Activity Company                              | Toro European CLO 5 Designated Activity Company                              | CUSIP: N/A<br>LEI: 635400CNR8OQZHQBZR28       | Long             | ABS-CBDO         | CORP              | IE        |    1699079 | PA      | $1771615.45   | 0.12%             | 2030-10-15      | Floating      | 0.74%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust 2011-RR5                                                      | BCAP LLC Trust 2011-RR5                                                      | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     231133 | PA      | $221417.49    | 0.01%             | 2037-03-26      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                          | Credit-Based Asset Servicing and Securitization LLC                          | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2230256 | PA      | $1474631.03   | 0.10%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                               | Community Health Systems, Inc.                                               | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     200000 | PA      | $171604.69    | 0.01%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Cedar Funding V CLO, Ltd.                                                    | Cedar Funding V CLO, Ltd.                                                    | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $689178.70    | 0.04%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                           | Citigroup Mortgage Loan Trust Inc.                                           | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       4510 | PA      | $4330.76      | 0.00%             | 2035-09-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2006-AMC1                                      | Citigroup Mortgage Loan Trust 2006-AMC1                                      | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1958272 | PA      | $1863240.14   | 0.12%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                                                     | HalseyPoint CLO II, Ltd.                                                     | CUSIP: 40638TAA0<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | US        |     697029 | PA      | $689413.89    | 0.04%             | 2031-07-21      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                           | J.P. Morgan Mortgage Trust 2005-A1                                           | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36185 | PA      | $33598.24     | 0.00%             | 2035-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE7 Issuer Ltd                                                | LoanCore 2021-CRE7 Issuer Ltd                                                | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1541924.80   | 0.10%             | 2037-01-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer Ltd.                                               | LoanCore 2021-CRE5 Issuer Ltd.                                               | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2515000 | PA      | $2416589.06   | 0.16%             | 2036-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-4CB                                              | Alternative Loan Trust 2007-4CB                                              | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248180 | PA      | $210135.52    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                | Bear Stearns ARM Trust 2004-1                                                | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8244 | PA      | $7789.84      | 0.00%             | 2033-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                           | Citigroup Mortgage Loan Trust Inc.                                           | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-CBDO         | CORP              | US        |    3422000 | PA      | $2909437.78   | 0.19%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XIV Ltd                                                 | Crestline Denali CLO XIV Ltd                                                 | CUSIP: 22615MAW2<br>LEI: 549300SBJ7CCHEFNE215 | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $784024.00    | 0.05%             | 2031-10-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      68883 | PA      | $69987.51     | 0.00%             | 2036-07-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11700000 | PA      | $11500114.28  | 0.75%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22300000 | PA      | $20925118.86  | 1.36%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Venture XXI CLO, Limited                                                     | Venture XXI CLO, Limited                                                     | CUSIP: 92330MAL3<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |     116473 | PA      | $116386.65    | 0.01%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                                 | VMware, Inc.                                                                 | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     200000 | PA      | $186757.74    | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22732 | PA      | $20919.05     | 0.00%             | 2033-09-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Allegro CLO IX Ltd                                                           | Allegro CLO IX Ltd                                                           | CUSIP: 01750NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $588984.60    | 0.04%             | 2031-10-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4    | Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4    | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94616 | PA      | $64479.01     | 0.00%             | 2036-08-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                           | Citigroup Mortgage Loan Trust Inc.                                           | CUSIP: 17307GTK4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      30246 | PA      | $25775.58     | 0.00%             | 2035-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Harborview Mortgage Loan Trust                                               | Harborview Mortgage Loan Trust                                               | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69937 | PA      | $64305.97     | 0.00%             | 2034-04-19      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Midocean Credit CLO VIII                                                     | Midocean Credit CLO VIII                                                     | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $886086.90    | 0.06%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO III Designated Activity Company                    | CIFC European Funding CLO III Designated Activity Company                    | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1034360.36   | 0.07%             | 2034-01-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5800000 | PA      | $5099015.48   | 0.33%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                  | Federal National Mortgage Association, Inc.                                  | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1100000 | PA      | $1032796.38   | 0.07%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-1                                       | CHL Mortgage Pass-Through Trust 2007-1                                       | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     728410 | PA      | $365651.43    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                           | Citigroup Mortgage Loan Trust Inc.                                           | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       5973 | PA      | $5192.33      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                            | Eversource Energy                                                            | CUSIP: 30040WAD0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96475.50     | 0.01%             | 2024-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 3128JRN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      30759 | PA      | $30766.49     | 0.00%             | 2036-10-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                           | Citigroup Mortgage Loan Trust Inc.                                           | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       6043 | PA      | $5857.99      | 0.00%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      24647 | PA      | $24552.89     | 0.00%             | 2036-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Mortgageit Trust 2004-2                                                      | Mortgageit Trust 2004-2                                                      | CUSIP: 61913PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153516 | PA      | $151147.08    | 0.01%             | 2034-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                     | Residential Asset Securities Corporation                                     | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     419616 | PA      | $403367.61    | 0.03%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust 2007-5                                        | HarborView Mortgage Loan Trust 2007-5                                        | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17206 | PA      | $14211.31     | 0.00%             | 2037-09-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                      | Home Equity Asset Trust                                                      | CUSIP: 437084QA7<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-CBDO         | CORP              | US        |    1251061 | PA      | $1214545.36   | 0.08%             | 2036-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XV, Ltd.                                                     | Sound Point CLO XV, Ltd.                                                     | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | US        |     896066 | PA      | $884591.49    | 0.06%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23610000 | PA      | $28030024.51  | 1.82%             | 2023-04-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                           | J.P. Morgan Mortgage Trust 2005-A1                                           | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6298 | PA      | $5593.57      | 0.00%             | 2035-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2005-A1                                           | J.P. Morgan Mortgage Trust 2005-A1                                           | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49280 | PA      | $42921.68     | 0.00%             | 2035-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30905000 | PA      | $34708249.94  | 2.26%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35450000 | PA      | $34736103.47  | 2.26%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-7                                        | Long Beach Mortgage Loan Trust 2006-7                                        | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     406828 | PA      | $149994.91    | 0.01%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                                               | New Century Home Equity Loan T                                               | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     233355 | PA      | $219501.99    | 0.01%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-RPL3                                | New Residential Mortgage Loan Trust 2019-RPL3                                | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1673656 | PA      | $1548342.43   | 0.10%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| OZLM IX, Ltd.                                                                | OZLM IX, Ltd.                                                                | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $292827.30    | 0.02%             | 2031-10-20      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO 2017-2 Designated Activity Company                          | Carlyle Euro CLO 2017-2 Designated Activity Company                          | CUSIP: N/A<br>LEI: 635400AWOJYIRR64GJ58       | Long             | ABS-CBDO         | CORP              | IE        |    2271828 | PA      | $2367121.61   | 0.15%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Ares European CLO VI Designated Activity Company                             | Ares European CLO VI Designated Activity Company                             | CUSIP: N/A<br>LEI: 635400IKZCKH2JKELA27       | Long             | ABS-CBDO         | CORP              | IE        |     593016 | PA      | $616095.09    | 0.04%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Tralee CLO VII Ltd                                                           | Tralee CLO VII Ltd                                                           | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1361994.20   | 0.09%             | 2034-04-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     260000 | PA      | $391421.68    | 0.03%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Venture XXVIII CLO, Limited                                                  | Venture XXVIII CLO, Limited                                                  | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1177184.40   | 0.08%             | 2030-07-22      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Venture 38 CLO Limited                                                       | Venture 38 CLO Limited                                                       | CUSIP: 92332NAS4<br>LEI: 549300EM6DS6KQH1HN07 | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1460581.50   | 0.10%             | 2032-07-30      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd                                                           | Vibrant CLO XI Ltd                                                           | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1460005.50   | 0.10%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| RASC Series 2006-EMX1 Trust                                                  | RASC Series 2006-EMX1 Trust                                                  | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2583823 | PA      | $2508552.81   | 0.16%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Stratus CLO 2021-3, Ltd.                                                     | Stratus CLO 2021-3, Ltd.                                                     | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1176759 | PA      | $1160729.02   | 0.08%             | 2029-12-31      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Symphony Static CLO I Ltd                                                    | Symphony Static CLO I Ltd                                                    | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     444375 | PA      | $437835.62    | 0.03%             | 2029-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage-Backed Trust Series 2006-4                                      | TBW Mortgage-Backed Trust Series 2006-4                                      | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473176 | PA      | $16996.82     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| TICP CLO II Ltd                                                              | TICP CLO II Ltd                                                              | CUSIP: 87249TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     428409 | PA      | $426438.09    | 0.03%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 Issuer, Ltd.                                                   | TRTX 2022-FL5 Issuer, Ltd.                                                   | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $288740.46    | 0.02%             | 2039-02-17      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21860000 | PA      | $26307286.52  | 1.71%             | 2026-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37930000 | PA      | $44401123.27  | 2.89%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HM Treasury                                                                  | HM Treasury                                                                  | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | DE        |    1970000 | PA      | $4617649.09   | 0.30%             | 2027-11-22      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO 2015-1 Designated Activity Company                         | Black Diamond CLO 2015-1 Designated Activity Company                         | CUSIP: N/A<br>LEI: 635400M6BTF6EBHINU93       | Long             | ABS-CBDO         | CORP              | US        |      46599 | PA      | $49764.21     | 0.00%             | 2029-10-03      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 Ltd                                                              | CBAM 2018-5 Ltd                                                              | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $688200.10    | 0.04%             | 2031-04-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13840000 | PA      | $15211787.09  | 0.99%             | 2025-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Laurelin 2016-1 Designated Activity Company                                  | Laurelin 2016-1 Designated Activity Company                                  | CUSIP: N/A<br>LEI: 5493000IP0JWCUCF6H56       | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $414357.72    | 0.03%             | 2035-10-20      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                      | Morgan Stanley ABS Capital Trust I Inc.                                      | CUSIP: 61744CNC6<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |    1250577 | PA      | $1180135.39   | 0.08%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital Trust I Inc.                                      | Morgan Stanley ABS Capital Trust I Inc.                                      | CUSIP: 61744CUU8<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |    1438847 | PA      | $1327504.70   | 0.09%             | 2035-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11800000 | PA      | $11854342.95  | 0.77%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Venture XIV CLO Ltd                                                          | Venture XIV CLO Ltd                                                          | CUSIP: 92328GBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1326114 | PA      | $1308597.40   | 0.09%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Venture XVII CLO, Limited                                                    | Venture XVII CLO, Limited                                                    | CUSIP: 92329YAL0<br>LEI: 549300SNYYGJ2M6QEK53 | Long             | ABS-CBDO         | CORP              | US        |     478399 | PA      | $472656.70    | 0.03%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Saranac CLO VI Limited                                                       | Saranac CLO VI Limited                                                       | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1271640.50   | 0.08%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12900000 | PA      | $18675710.55  | 1.22%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12700000 | PA      | $9837904.54   | 0.64%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $12148686.02  | 0.79%             | 2024-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                        | Treasury, United States Department of                                        | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54920000 | PA      | $62064270.26  | 4.04%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | Wamu Mortgage Pass-Through Certificates Series 2003-S10trust                 | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47083 | PA      | $41635.57     | 0.00%             | 2035-12-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2017-2A Ltd                                                    | Wellfleet CLO 2017-2A Ltd                                                    | CUSIP: 94951MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     585196 | PA      | $578217.05    | 0.04%             | 2029-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| New Zealand Parliament                                                       | New Zealand Parliament                                                       | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |   10600000 | PA      | $8304611.01   | 0.54%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OZLM XVI Ltd                                                                 | OZLM XVI Ltd                                                                 | CUSIP: 67111KAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2806420 | PA      | $2760203.63   | 0.18%             | 2030-05-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fidelity Grand Harbour CLO 2019-1 Designated Activity Company                | Fidelity Grand Harbour CLO 2019-1 Designated Activity Company                | CUSIP: N/A<br>LEI: 635400CBUJWOFHRXZT14       | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $729531.99    | 0.05%             | 2032-03-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AerCap Ireland Capital Designated Activity Company                           | CUSIP: N/A<br>LEI: 549300TI38531ODB1G63       | Long             | ABS-CBDO         | CORP              | IE        |     597959 | PA      | $621706.00    | 0.04%             | 2032-04-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                     | Residential Asset Securities Corporation                                     | CUSIP: 76110W7E0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     352858 | PA      | $346710.03    | 0.02%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO 2019-1 Designated Activity Company                         | Black Diamond CLO 2019-1 Designated Activity Company                         | CUSIP: N/A<br>LEI: 549300I3ISWDFTMO5713       | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $416018.63    | 0.03%             | 2032-05-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII 2017-1 Ltd                                                 | Gallatin CLO VIII 2017-1 Ltd                                                 | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $881752.50    | 0.06%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | Government National Mortgage Association                                     | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1404903 | PA      | $1376596.84   | 0.09%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                            | IndyMac MBS, Inc.                                                            | CUSIP: 45660NQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8490 | PA      | $8025.84      | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust, Series 2008-R2                                   | J.P. Morgan Mortgage Trust, Series 2008-R2                                   | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176845 | PA      | $159056.10    | 0.01%             | 2037-07-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund Ltd                                                   | Atlas Senior Loan Fund Ltd                                                   | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1238033 | PA      | $1219576.74   | 0.08%             | 2030-01-16      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                  | Bank of America Corporation                                                  | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1021565.60   | 0.07%             | 2500-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd 2016-II                                                      | Barings CLO Ltd 2016-II                                                      | CUSIP: 06761CAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $784947.20    | 0.05%             | 2032-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     110439 | PA      | $108661.65    | 0.01%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust 2004-1                                                | Bear Stearns ARM Trust 2004-1                                                | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34374 | PA      | $32083.08     | 0.00%             | 2034-11-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AMC2                                      | Citigroup Mortgage Loan Trust 2007-AMC2                                      | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      46727 | PA      | $31322.30     | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Series 2007 AHL3                               | Citigroup Mortgage Loan Trust Series 2007 AHL3                               | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      98134 | PA      | $69665.82     | 0.00%             | 2045-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                       | Federal Home Loan Mortgage Corporation                                       | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      82981 | PA      | $80864.81     | 0.01%             | 2045-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | Government National Mortgage Association                                     | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1713866 | PA      | $1646057.01   | 0.11%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Greenpoint M F T S 2006-AR4                                                  | Greenpoint M F T S 2006-AR4                                                  | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249830 | PA      | $214169.00    | 0.01%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2007-A1                                           | J.P. Morgan Mortgage Trust 2007-A1                                           | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16246 | PA      | $15487.61     | 0.00%             | 2035-07-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer