# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0000869392-23-000684
**Filing Date:** 2023-3
**Character Count:** 587988
**Document Hash:** 6c24cec0419cd9366d064d31bfb8e3af
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000684.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0000869392-23-000684

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001005942
- **IRS NUMBER:** 043299786
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07513
- **FILM NUMBER:** 23774549

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6177601000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

## Series and Classes Contracts Data

### Putnam Core Bond Fund (Series ID: S000024275)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000071712 | Class R        |  |
| C000071713 | Class Y        |  |
| C000071714 | Class A        |  |
| C000071715 | Class B        |  |
| C000071716 | Class C        |  |
| C000118006 | Class R6       |  |
| C000174702 | Class P Shares |  |

## Nport-Ex

------

---

| |
|:---|
| **Putnam Core Bond Fund†** |
| † Effective February 28, 2023, the fund changed its name from Putnam Fixed Income Absolute Return Fund. |
| **The fund's portfolio** |
| **1/31/23 (Unaudited)** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (101.0%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (101.0%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (101.0%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (7.7%)** | **U.S. Government Guaranteed Mortgage Obligations (7.7%)** | **U.S. Government Guaranteed Mortgage Obligations (7.7%)** |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 5/20/49 | $45543 | $46897 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 5/20/49 to 3/20/50 | 150659 | 153030 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 12000000 | 11915360 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 2/1/53 | 8000000 | 7774306 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, 1/20/50 | 16774 | 16428 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 9/20/49 to 11/20/49 | 211380 | 200781 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 2/1/53 | 8000000 | 7349476 |
|  |  | **27456278** |
| **U.S. Government Agency Mortgage Obligations (93.3%)** | **U.S. Government Agency Mortgage Obligations (93.3%)** | **U.S. Government Agency Mortgage Obligations (93.3%)** |
| Federal National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 1/1/49 to 8/1/49 | 81843 | 82526 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 5/1/49 | 11396 | 11412 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 3/1/53 | 14000000 | 14356563 |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 2/1/53 | 14000000 | 14383907 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 3/1/53 | 22000000 | 22332589 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 2/1/53 | 52000000 | 52828776 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 3/1/53 | 16000000 | 16054374 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 2/1/53 | 156000000 | 156621566 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 2/1/53 | 43000000 | 42472579 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 2/1/53 | 7000000 | 6569609 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 2/1/53 | 5000000 | 4376170 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 2/1/53 | 5000000 | 4208284 |
|  |  | **334298355** |
| **Total U.S. government and agency mortgage obligations (cost $357,299,021)** | **Total U.S. government and agency mortgage obligations (cost $357,299,021)** | **$361754633** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (0.2%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.2%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.2%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Bonds 6.75%, 8/15/26***<sup>(i)</sup>*** | $22000 | $24794 |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 9/30/25***<sup>(i)</sup>*** | 334000 | 329264 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625%, 5/15/31***<sup>(i)</sup>*** | 425000 | 371255 |
| **Total U.S. treasury obligations (cost $725,313)** |  | **$725313** |

---

------

---

| | | |
|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (14.2%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (14.2%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (14.2%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Basic materials (2.2%)** | **Basic materials (2.2%)** | **Basic materials (2.2%)** |
| Axalta Coating Systems, LLC/Axalta Coating Systems Dutch Holding B BV 144A company guaranty sr. unsec. notes 4.75%, 6/15/27 | $980000 | $926100 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 660000 | 593539 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 1080000 | 1095259 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 450000 | 455810 |
| Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | 430000 | 372386 |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 410000 | 336713 |
| Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 850000 | 758625 |
| Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 1705000 | 1543025 |
| Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 | 425000 | 405344 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 | 1520000 | 1512400 |
|  |  | **7999201** |
| **Capital goods (0.9%)** | **Capital goods (0.9%)** | **Capital goods (0.9%)** |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | 793000 | 779305 |
| DP World Salaam jr. unsec. sub. FRN 6.00%, 1/1/26 (United Arab Emirates) | 530000 | 530000 |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 586000 | 511285 |
| Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 | 300000 | 304458 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 520000 | 519817 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 | 586000 | 595376 |
|  |  | **3240241** |
| **Communication services (0.9%)** | **Communication services (0.9%)** | **Communication services (0.9%)** |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 490000 | 453250 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 | 278000 | 227455 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 650000 | 560219 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 265000 | 283507 |
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 1045000 | 1060542 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 526000 | 527643 |
|  |  | **3112616** |
| **Consumer cyclicals (1.5%)** | **Consumer cyclicals (1.5%)** | **Consumer cyclicals (1.5%)** |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 | 1000000 | 982870 |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 | 410000 | 357987 |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 483000 | 474581 |
| Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 861000 | 836918 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 471000 | 388283 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 680000 | 643450 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 837000 | 737532 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/30 | 123000 | 111725 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 440000 | 416960 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 520000 | 487318 |
|  |  | **5437624** |
| **Consumer staples (1.7%)** | **Consumer staples (1.7%)** | **Consumer staples (1.7%)** |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 2280000 | 2161554 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 | 840000 | 724500 |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 | 515000 | 493815 |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 762000 | 700865 |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 710000 | 736574 |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 85000 | 86210 |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 | 1093000 | 1038394 |
|  |  | **5941912** |
| **Energy (3.9%)** | **Energy (3.9%)** | **Energy (3.9%)** |
| Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 1085000 | 947476 |
| Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 840000 | 827400 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 | 215000 | 211099 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 | 193000 | 151642 |
| Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 835000 | 778479 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 1230000 | 1205400 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 1035000 | 1024774 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 867000 | 807394 |
| KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 4.75%, 4/19/27 (Kazakhstan) | 560000 | 520800 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 780000 | 781014 |
| Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 758000 | 765928 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 1259000 | 1324002 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) | 400000 | 398000 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 488000 | 489156 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 88000 | 84653 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) | 78000 | 77754 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 278000 | 222551 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 145000 | 120359 |
| Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 600000 | 586200 |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 820000 | 807171 |
| Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 | 379000 | 334096 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 1225000 | 1140781 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 368000 | 337180 |
|  |  | **13943309** |
| **Financials (1.6%)** | **Financials (1.6%)** | **Financials (1.6%)** |
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 540000 | 594727 |
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 1209000 | 1201569 |
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 7.50%, perpetual maturity (Switzerland) | 1150000 | 1089625 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 1095000 | 1080223 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25***<sup>(R)</sup>*** | 346000 | 343405 |
| Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) | 400000 | 367868 |
| OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 1000000 | 993455 |
|  |  | **5670872** |
| **Health care (1.1%)** | **Health care (1.1%)** | **Health care (1.1%)** |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 930000 | 883556 |
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 140000 | 117648 |
| Tenet Healthcare Corp. company guaranty sr. notes 4.875%, 1/1/26 | 1655000 | 1611920 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 1132000 | 1128508 |
|  |  | **3741632** |
| **Technology (0.1%)** | **Technology (0.1%)** | **Technology (0.1%)** |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 591000 | 514170 |
|  |  | **514170** |
| **Utilities and power (0.3%)** | **Utilities and power (0.3%)** | **Utilities and power (0.3%)** |
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 755000 | 696684 |
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 501000 | 418425 |
|  |  | **1115109** |
| **Total corporate bonds and notes (cost $54,251,326)** |  | **$50716686** |

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| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (13.9%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (13.9%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (13.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Commercial mortgage-backed securities (6.3%)** | **Commercial mortgage-backed securities (6.3%)** | **Commercial mortgage-backed securities (6.3%)** |
| Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.313%, 1/15/49***<sup>(WAC)</sup>*** | $75721 | $1 |
| BANK |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-BNK9, Class XA, IO, 0.766%, 11/15/54***<sup>(WAC)</sup>*** | 36966496 | 1107158 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-BN10, Class XA, IO, 0.692%, 2/15/61***<sup>(WAC)</sup>*** | 39072548 | 1098732 |
| Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45***<sup>(WAC)</sup>*** | 16225 | 15657 |
| Cantor Commercial Real Estate Lending FRB Ser. 19-CF3, Class XA, IO, 0.708%, 1/15/53***<sup>(WAC)</sup>*** | 10601295 | 362403 |
| CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.546%, 2/10/50***<sup>(WAC)</sup>*** | 756000 | 584165 |
| CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.607%, 5/10/58***<sup>(WAC)</sup>*** | 5821893 | 224477 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC21, Class XA, IO, 1.124%, 5/10/47***<sup>(WAC)</sup>*** | 8746657 | 89105 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC19, Class XA, IO, 1.096%, 3/11/47***<sup>(WAC)</sup>*** | 13421659 | 97522 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC17, Class XA, IO, 0.988%, 11/10/46***<sup>(WAC)</sup>*** | 10199745 | 39873 |
| Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.088%, 3/11/47***<sup>(WAC)</sup>*** | 561000 | 526562 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class C, 4.781%, 5/10/47***<sup>(WAC)</sup>*** | 2166000 | 1980887 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC19, Class C, 4.215%, 2/10/48***<sup>(WAC)</sup>*** | 1031000 | 956877 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS4, Class XA, IO, 1.087%, 8/10/47***<sup>(WAC)</sup>*** | 5783667 | 60905 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR20, Class XA, IO, 0.944%, 11/10/47***<sup>(WAC)</sup>*** | 20523939 | 243209 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR19, Class XA, IO, 0.931%, 8/10/47***<sup>(WAC)</sup>*** | 18945234 | 193706 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR11, Class XA, IO, 0.896%, 8/10/50***<sup>(WAC)</sup>*** | 49151353 | 118307 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-CR23, Class XA, IO, 0.862%, 5/10/48***<sup>(WAC)</sup>*** | 18111254 | 254983 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-CR22, Class XA, IO, 0.82%, 3/10/48***<sup>(WAC)</sup>*** | 10098298 | 153494 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC21, Class XA, IO, 0.654%, 7/10/48***<sup>(WAC)</sup>*** | 31247578 | 387442 |
| COMM Mortgage Trust 144A FRB Ser. 13-CR13, Class E, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 523000 | 405792 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41***<sup>(WAC)</sup>*** | 4649202 | 1706257 |
| CSAIL Commercial Mortgage Trust Ser. 15-C1, Class XA, IO, 0.817%, 4/15/50***<sup>(WAC)</sup>*** | 18459636 | 210532 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.355%, 8/10/44***<sup>(WAC)</sup>*** | 1248987 | 1105395 |
| GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47***<sup>(WAC)</sup>*** | 1251000 | 1194232 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC18, Class XA, IO, 1.022%, 1/10/47***<sup>(WAC)</sup>*** | 15788129 | 97886 |
| JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C24, Class XA, IO, 0.859%, 11/15/47***<sup>(WAC)</sup>*** | 33731875 | 330862 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C19, Class XA, IO, 0.624%, 4/15/47***<sup>(WAC)</sup>*** | 11187735 | 48544 |
| JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-C10, Class XA, IO, 0.867%, 12/15/47***<sup>(WAC)</sup>*** | 4698052 | 6986 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-LC9, Class D, 3.797%, 12/15/47***<sup>(WAC)</sup>*** | 327000 | 326827 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C26, Class XA, IO, 0.966%, 10/15/48***<sup>(WAC)</sup>*** | 12996562 | 206242 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C13, Class XA, IO, 0.93%, 11/15/46***<sup>(WAC)</sup>*** | 42647255 | 152771 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C5, Class E, 4.656%, 8/15/45***<sup>(WAC)</sup>*** | 1026000 | 946709 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class E, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 3310000 | 1133344 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class F, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 2461000 | 502499 |
| Morgan Stanley Capital I Trust FRB Ser. 16-UB12, Class XA, IO, 0.652%, 12/15/49***<sup>(WAC)</sup>*** | 21285676 | 424111 |
| Ready Capital Mortgage Financing, LLC 144A FRB Ser. 20-FL4, Class C, 9.256%, 2/25/35 | 2333000 | 2278746 |
| UBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50***<sup>(WAC)</sup>*** | 10557020 | 380106 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C8, Class XA, IO, 0.821%, 2/15/51***<sup>(WAC)</sup>*** | 13245776 | 450478 |
| UBS-Barclays Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C5, Class XA, IO, 0.658%, 3/10/46***<sup>(WAC)</sup>*** | 1185438 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C2, Class XA, IO, 0.601%, 5/10/63***<sup>(WAC)</sup>*** | 1088685 | 11 |
| Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.342%, 11/15/48***<sup>(WAC)</sup>*** | 826540 | 258 |
| Wells Fargo Commercial Mortgage Trust FRB Ser. 14-LC16, Class XA, IO, 1.079%, 8/15/50***<sup>(WAC)</sup>*** | 15082015 | 141596 |
| Wells Fargo Commercial Mortgage Trust 144A Ser. 20-C55, Class D, 2.50%, 2/15/53 | 2057000 | 1338781 |
| WF-RBS Commercial Mortgage Trust 144A Ser. 11-C4, Class D, 4.845%, 6/15/44***<sup>(WAC)</sup>*** | 771000 | 643563 |
|  |  | **22528005** |
| **Residential mortgage-backed securities (non-agency) (7.6%)** | **Residential mortgage-backed securities (non-agency) (7.6%)** | **Residential mortgage-backed securities (non-agency) (7.6%)** |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | 1188823 | 636941 |
| Arroyo Mortgage Trust 144A Ser. 19-1, Class A3, 4.208%, 1/25/49***<sup>(WAC)</sup>*** | 194814 | 182594 |
| Bellemeade Re, Ltd. 144A FRB Ser. 20-2A, Class B1, (ICE LIBOR USD 1 Month + 8.50%), 13.006%, 8/26/30 (Bermuda) | 421000 | 432247 |
| BRAVO Residential Funding Trust 144A Ser. 21-C, Class A1, 1.62%, 3/1/61 | 394615 | 343315 |
| Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 4.986%, 6/25/36 | 937203 | 900512 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR5, Class 1A1A, 3.647%, 4/25/37***<sup>(WAC)</sup>*** | 316736 | 269348 |
| Countrywide Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.146%, 11/20/35 | 1504471 | 1346662 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 2A1, (ICE LIBOR USD 1 Month + 0.38%), 4.886%, 8/25/46 | 330787 | 276724 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA7, Class 1A1, 2.834%, 6/25/46***<sup>(WAC)</sup>*** | 392021 | 361875 |
| Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (ICE LIBOR USD 1 Month + 0.62%), 5.126%, 4/25/35 | 239153 | 205476 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 13.706%, 10/25/27 | 987578 | 1017771 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 12.056%, 12/25/27 | 742203 | 740578 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.206%, 4/25/28 | 94313 | 99107 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (ICE LIBOR USD 1 Month + 3.80%), 8.306%, 3/25/29 | 181225 | 185501 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 8.056%, 8/25/29 | 587551 | 608115 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2B, (ICE LIBOR USD 1 Month + 2.50%), 7.006%, 3/25/30 | 361000 | 365513 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 9.56%, 3/25/42 | 2826000 | 2822468 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.11%, 10/25/50 | 24929 | 25247 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 6.96%, 7/25/42 | 347574 | 351919 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 6.906%, 2/25/47 | 764260 | 768082 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.46%, 9/25/42 | 18251 | 18380 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M1A, (US 30 Day Average SOFR + 2.10%), 6.41%, 3/25/42 | 23131 | 23160 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.16%, 1/25/42 | 347000 | 335933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.61%, 2/25/42 | 292543 | 290349 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.506%, 2/25/47 | 2568110 | 2546346 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.31%, 1/25/42 | 47173 | 46334 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 5.16%, 9/25/41 | 224828 | 217047 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.11%, 10/25/41 | 230126 | 228283 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57***<sup>(WAC)</sup>*** | 340000 | 304281 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 10/25/28 | 833483 | 928923 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.256%, 8/25/28 | 287481 | 318896 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.456%, 8/25/28 | 20757 | 21962 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.256%, 8/25/28 | 6411 | 6813 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 10.506%, 9/25/28 | 68536 | 71994 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.406%, 10/25/28 | 70087 | 73241 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.206%, 4/25/28 | 685597 | 723621 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 10.056%, 4/25/28 | 140437 | 147450 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 10.006%, 9/25/29 | 598000 | 651634 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.506%, 11/25/24 | 687 | 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.406%, 11/25/24 | 370576 | 385673 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 9.006%, 12/25/30 | 842700 | 891414 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 8.806%, 2/25/25 | 42507 | 43984 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.506%, 5/25/25 | 3912 | 3991 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.156%, 9/25/29 | 135000 | 139605 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.406%, 7/25/24 | 244086 | 246800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.306%, 2/25/30 | 61000 | 61630 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (ICE LIBOR USD 1 Month + 2.60%), 7.106%, 5/25/24 | 80631 | 81842 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 6.856%, 1/25/31 | 194455 | 196156 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.31%, 1/25/42 | 1012000 | 983538 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.26%, 6/25/42 | 50528 | 51567 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.956%, 7/25/31 | 27284 | 27318 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 6.81%, 9/25/42 | 112447 | 113064 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.656%, 11/25/39 | 428868 | 425733 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 1/25/40 | 81527 | 81260 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.51%, 1/25/42 | 161621 | 160005 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.31%, 12/25/41 | 96538 | 95451 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 5.21%, 11/25/41 | 79987 | 79235 |
| GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 235787 | 216951 |
| GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36***<sup>(WAC)</sup>*** | 742746 | 247550 |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.99%, 5/19/35 | 753455 | 257927 |
| Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.46%, 1/25/34 (Bermuda) | 213000 | 179264 |
| Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A3, 3.196%, 5/25/65***<sup>(WAC)</sup>*** | 647000 | 583149 |
| JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 4.906%, 6/25/37 | 515650 | 217609 |
| Legacy Mortgage Asset Trust 144A Ser. 21-GS3, Class A2, 3.25%, 7/25/61 | 403000 | 343533 |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 4.936%, 5/25/46 | 614959 | 528865 |
| Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60***<sup>(WAC)</sup>*** | 381000 | 354399 |
| ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26***<sup>(WAC)</sup>*** | 870000 | 789525 |
| WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.486%, 10/25/45 | 415146 | 388830 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-AR10, Class 1A3, 3.832%, 9/25/35***<sup>(WAC)</sup>*** | 225893 | 201645 |
|  |  | **27272850** |
| **Total mortgage-backed securities (cost $60,452,121)** |  | **$49800855** |

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------

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| | | |
|:---|:---|:---|
| **COLLATERALIZED LOAN OBLIGATIONS (9.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (9.0%)***<sup>(a)</sup>*** | **COLLATERALIZED LOAN OBLIGATIONS (9.0%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | $1245000 | $1223547 |
| AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 902000 | 889759 |
| AIG CLO, LLC 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 | 400000 | 394242 |
| AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.915%, 4/22/34 | 365000 | 359625 |
| Allegany Park CLO, Ltd. 144A FRB Ser. 22-1A, Class AR, (CME TERM SOFR 3 Month + 1.30%), 5.939%, 1/20/35 (Cayman Islands) | 750000 | 732098 |
| American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 5.71%, 11/2/30 (Cayman Islands) | 1250000 | 1242169 |
| Apidos CLO XII 144A FRB Ser. 18-12A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/31 (Cayman Islands) | 1071000 | 1061420 |
| Ares LXI CLO, Ltd. 144A FRB Ser. 21-61A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 5.958%, 10/20/34 (Cayman Islands) | 500000 | 494145 |
| Ares LXIV CLO, Ltd. 144A FRB Ser. 22-64A, Class A1, (CME TERM SOFR 3 Month + 1.44%), 6.098%, 4/15/35 (Cayman Islands) | 500000 | 490047 |
| Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 4/15/34 (Cayman Islands) | 750000 | 737009 |
| Battery Park CLO II, Ltd. 144A FRB Ser. 22-1A, Class A1, (CME TERM SOFR 3 Month + 2.21%), 6.39%, 10/20/35 | 800000 | 796945 |
| Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 5.898%, 4/20/31 | 631000 | 626811 |
| BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 619000 | 608794 |
| Canyon Capital CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 7/15/31 (Cayman Islands) | 785000 | 775266 |
| Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-1A, Class A1R2, (ICE LIBOR USD 3 Month + 0.97%), 5.762%, 4/17/31 (Cayman Islands) | 847424 | 839655 |
| Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-3RA, Class A1A, (ICE LIBOR USD 3 Month + 1.05%), 5.865%, 7/27/31 (Cayman Islands) | 621879 | 616101 |
| CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 1119000 | 1105597 |
| CBAM CLO Management, Ltd. 144A FRB Ser. 18-5A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.812%, 4/17/31 (Cayman Islands) | 881000 | 869986 |
| Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 5.785%, 7/27/30 (Cayman Islands) | 1174646 | 1162217 |
| CIFC Funding, Ltd. 144A FRB Ser. 21-4A, Class A1R, (ICE LIBOR USD 3 Month + 0.95%), 5.766%, 10/24/30 (Cayman Islands) | 750798 | 742977 |
| Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 6.022%, 10/15/31 (Cayman Islands) | 796970 | 792252 |
| Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 5.992%, 7/15/34 (Cayman Islands) | 1054000 | 1040673 |
| ICG US CLO, Ltd. 144A FRB Ser. 18-1A, Class A2R, (ICE LIBOR USD 3 Month + 1.55%), 6.348%, 10/19/28 (Cayman Islands) | 500000 | 489725 |
| Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A1RR, (ICE LIBOR USD 3 Month + 1.24%), 6.058%, 7/25/34 (Cayman Islands) | 400000 | 394613 |
| LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/31 (Cayman Islands) | 934000 | 918970 |
| Madison Park Funding XVIII, Ltd. 144A FRB Ser. 21-18A, Class ARR, (ICE LIBOR USD 3 Month + 0.94%), 5.755%, 10/21/30 (Cayman Islands) | 1145624 | 1133770 |
| Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 6.112%, 4/15/32 (Cayman Islands) | 500000 | 492475 |
| Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 6.082%, 1/15/35 (Cayman Islands) | 250000 | 244465 |
| Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 379000 | 373160 |
| OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 7/20/32 (Cayman Islands) | 1015000 | 999665 |
| Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 5.996%, 1/24/33 (Cayman Islands) | 528000 | 521655 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.606%, 5/15/32 (Cayman Islands) | 983000 | 949659 |
| Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 5.808%, 10/20/31 (Cayman Islands) | 500000 | 491749 |
| Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.16%), 5.952%, 10/15/34 (Cayman Islands) | 341000 | 335357 |
| Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 1000000 | 984948 |
| Rockford Tower CLO, Ltd. 144A FRB Ser. 21-2A, Class A1, (ICE LIBOR USD 3 Month + 1.16%), 5.968%, 7/20/34 (Cayman Islands) | 400000 | 392413 |
| Saranac CLO VI, Ltd. 144A FRB Ser. 21-6A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 5.873%, 8/13/31 (Jersey) | 400000 | 393600 |
| Sound Point CLO VIII-R, Ltd. 144A FRB Ser. 21-1RA, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.872%, 4/15/30 (Cayman Islands) | 452251 | 445826 |
| Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 724000 | 704479 |
| Sound Point CLO XXVIII, Ltd. 144A FRB Ser. 20-3A, Class A1, (ICE LIBOR USD 3 Month + 1.28%), 6.098%, 1/25/32 (Cayman Islands) | 600000 | 591560 |
| Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.942%, 7/15/32 (Cayman Islands) | 500000 | 490089 |
| Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 6.508%, 1/20/29 (Cayman Islands) | 1200000 | 1166854 |
| Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 7/17/31 | 1000000 | 981309 |
| Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.282%, 7/15/32 | 1214000 | 1197016 |
| **Total collateralized loan obligations (cost $32,321,444)** |  | **$32294692** |

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------

---

| | | | |
|:---|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.0%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.0%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.0%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.0%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) |  | $800000 | $625000 |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) |  | 845000 | 745808 |
| Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) |  | 1520000 | 1349000 |
| Cote d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/30/32 (Cote d'lvoire) | EUR | 210000 | 178614 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) |  | $1295000 | 1150931 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | 572000 | 486451 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |  | 682000 | 701760 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) |  | 150000 | 147042 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) |  | 379000 | 377491 |
| Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) |  | 1090000 | 1005298 |
| Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) |  | 230000 | 169333 |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) |  | 870000 | 718834 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 380000 | 152000 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 630000 | 238613 |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) |  | 885000 | 885618 |
| Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) |  | 1194000 | 1141617 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) |  | 310000 | 308261 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) |  | 1290000 | 1285769 |
| Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) |  | 690000 | 731538 |
| Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) |  | 420000 | 381108 |
| Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) |  | 535000 | 518950 |
| Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) |  | 255000 | 251813 |
| Romania (Government of) 144A unsec. bonds 3.625%, 3/27/32 (Romania) |  | 1000000 | 840470 |
| South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) |  | 255000 | 256595 |
| South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) |  | 305000 | 293561 |
| Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) |  | 1090000 | 714225 |
| United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) |  | 2170000 | 1779113 |
| Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) |  | 500000 | 492500 |
| **Total foreign government and agency bonds and notes (cost $19,840,548)** | **Total foreign government and agency bonds and notes (cost $19,840,548)** | **Total foreign government and agency bonds and notes (cost $19,840,548)** | **$17927313** |

---

------

---

| | | |
|:---|:---|:---|
| **CONVERTIBLE BONDS AND NOTES (0.9%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (0.9%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (0.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Capital goods (—%)** | **Capital goods (—%)** | **Capital goods (—%)** |
| Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 | $33000 | $35442 |
| John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 | 44000 | 40546 |
|  |  | **75988** |
| **Communication services (0.1%)** | **Communication services (0.1%)** | **Communication services (0.1%)** |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 93000 | 60849 |
| Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 21000 | 27458 |
| Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 | 75000 | 69300 |
|  |  | **157607** |
| **Consumer cyclicals (0.2%)** | **Consumer cyclicals (0.2%)** | **Consumer cyclicals (0.2%)** |
| Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 53000 | 42466 |
| Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 | 23000 | 19366 |
| Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 44000 | 62647 |
| Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 | 27000 | 33446 |
| DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 43000 | 29240 |
| Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 | 52000 | 47320 |
| Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 | 73000 | 74095 |
| Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 | 51000 | 40647 |
| Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 | 99000 | 106178 |
| National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 | 20000 | 28650 |
| NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 | 43000 | 33863 |
| Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 | 51000 | 77852 |
| Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 | 40000 | 42700 |
| Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 | 65000 | 61506 |
|  |  | **699976** |
| **Consumer staples (0.1%)** | **Consumer staples (0.1%)** | **Consumer staples (0.1%)** |
| Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 20000 | 17170 |
| Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 | 35000 | 28634 |
| Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 | 36000 | 31298 |
| Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 | 41000 | 32210 |
| Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 | 58000 | 52165 |
| Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 39000 | 28999 |
| Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 | 50000 | 43937 |
| Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 | 39000 | 30666 |
| Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 | 35000 | 27038 |
| Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 | 25000 | 25613 |
|  |  | **317730** |
| **Energy (—%)** | **Energy (—%)** | **Energy (—%)** |
| Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 49000 | 52689 |
| Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 | 14000 | 32935 |
|  |  | **85624** |
| **Financials (—%)** | **Financials (—%)** | **Financials (—%)** |
| SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 | 43000 | 32207 |
|  |  | **32207** |
| **Health care (0.2%)** | **Health care (0.2%)** | **Health care (0.2%)** |
| BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | 36000 | 40500 |
| CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 | 21000 | 19982 |
| Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 46000 | 48438 |
| Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 77000 | 68723 |
| Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 | 80000 | 74900 |
| Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 36000 | 49698 |
| Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 27000 | 28391 |
| Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) | 61000 | 59894 |
| Lantheus Holdings, Inc. 144A cv. company guaranty sr. unsec. unsub. notes 2.625%, 12/15/27 | 36000 | 38408 |
| Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 | 50000 | 45688 |
| Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 37000 | 29670 |
|  |  | **504292** |
| **Technology (0.3%)** | **Technology (0.3%)** | **Technology (0.3%)** |
| 3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 | 24000 | 17805 |
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 111000 | 109890 |
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 39000 | 41789 |
| Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 48000 | 40080 |
| Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 | 44000 | 35288 |
| Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 33000 | 44237 |
| Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 | 37000 | 33578 |
| CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) | 28000 | 30783 |
| Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 32000 | 35040 |
| DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 | 41000 | 31468 |
| Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 37000 | 31243 |
| Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 | 26000 | 24557 |
| Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 | 42000 | 57490 |
| Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 58000 | 52635 |
| MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 24000 | 29400 |
| Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 63000 | 53424 |
| ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 | 26000 | 38987 |
| Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 27000 | 44253 |
| Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 67000 | 58416 |
| Perficient, Inc. cv. sr. unsec. notes 0.125%, 11/15/26 | 42000 | 33995 |
| RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 | 48000 | 41970 |
| Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 | 51000 | 37638 |
| Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 | 78000 | 67127 |
| Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 36000 | 30024 |
| Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 | 22000 | 20889 |
| Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 42000 | 32382 |
| Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 27000 | 28013 |
| Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 | 34000 | 33018 |
| Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 23000 | 25128 |
|  |  | **1160547** |
| **Transportation (—%)** | **Transportation (—%)** | **Transportation (—%)** |
| JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 | 39000 | 30830 |
| Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 62000 | 74338 |
|  |  | **105168** |
| **Utilities and power (—%)** | **Utilities and power (—%)** | **Utilities and power (—%)** |
| NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 | 56000 | 57288 |
| NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 48000 | 49032 |
|  |  | **106320** |
| **Total convertible bonds and notes (cost $3,496,993)** |  | **$3245459** |

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| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $383322 | $378530 |
| Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.506%, 11/25/55 | 916000 | 827293 |
| MRA Issuance Trust 144A FRB Ser. 22-2, Class A3, (US SOFR + 1.25%), 5.55%, 6/15/23 | 1000000 | 1000000 |
| **Total asset-backed securities (cost $2,254,667)** |  | **$2205823** |

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (53.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (53.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (53.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (53.2%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| Interest in $385,437,000 joint tri-party repurchase agreement dated 1/31/2023 with Citigroup Global Markets, Inc. due 2/1/2023 - maturity value of $89,526,692 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 4.500% to 6.500% and due dates ranging from 10/20/2052 to 11/20/2052, valued at $393,168,615) |  | $89516000 | $89516000 |
| Interest in $200,000,000 joint tri-party repurchase agreement dated 1/31/2023 with JPMorgan Securities, LLC due 2/1/2023 - maturity value of $88,010,462 for an effective yield of 4.280% (collateralized by U.S. Treasuries (including strips) with coupon rates ranging from 2.625% to 3.000% and due dates ranging from 2/15/2029 to 5/15/2042, valued at $204,024,288) |  | 88000000 | 88000000 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.18%***<sup>(P)</sup>*** | Shares | 4818000 | 4818000 |
| U.S. Treasury Bills 4.410%, 2/23/23***<sup>(SEGSF)(SEGCCS)</sup>*** |  | $2200000 | 2194014 |
| U.S. Treasury Bills 3.814%, 2/2/23***<sup>(SEG)(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 4300000 | 4299523 |
| U.S. Treasury Bills zero%, 6/15/23***<sup>(i)</sup>*** |  | 1752000 | 1721690 |
| U.S. Treasury Bills zero%, 4/27/23***<sup>(i)</sup>*** |  | 49000 | 48466 |
| **Total short-term investments (cost $190,597,891)** |  |  | **$190597693** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $721,239,324)** |  |  | **$709268467** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 1/31/23 (aggregate face value $25,036,764) (Unaudited)** |
|  | **Counterparty** | **Currency** | **Contract type\*** | **Delivery date** | **Value** | **Aggregate face value** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  |  | Canadian Dollar | Sell | 4/19/23 | $8423 | $8279 | $(144) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 15713 | 15310 | (403) |
|  |  | Swedish Krona | Sell | 3/15/23 | 2798 | 2812 | 14 |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  |  | Swiss Franc | Buy | 3/15/23 | 142849 | 139046 | 3803 |
|  | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
|  |  | Australian Dollar | Sell | 4/19/23 | 12034 | 11601 | (433) |
|  |  | Canadian Dollar | Sell | 4/19/23 | 14815 | 14519 | (296) |
|  |  | Euro | Buy | 3/15/23 | 2943 | 2930 | 13 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 7839 | 7873 | 34 |
|  |  | Swedish Krona | Sell | 3/15/23 | 18411 | 18314 | (97) |
|  |  | Swiss Franc | Sell | 3/15/23 | 11084 | 10849 | (235) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  |  | Swiss Franc | Buy | 3/15/23 | 1658240 | 1614088 | 44152 |
|  | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** |
|  |  | Australian Dollar | Sell | 4/19/23 | 95709 | 92233 | (3476) |
|  |  | British Pound | Sell | 3/15/23 | 315032 | 312050 | (2982) |
|  |  | Canadian Dollar | Sell | 4/19/23 | 41663 | 40956 | (707) |
|  |  | Euro | Buy | 3/15/23 | 16568 | 16622 | (54) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 14485 | 14021 | (464) |
|  |  | Norwegian Krone | Buy | 3/15/23 | 27965 | 29093 | (1128) |
|  |  | Swedish Krona | Sell | 3/15/23 | 116312 | 119509 | 3197 |
|  |  | Swiss Franc | Sell | 3/15/23 | 36206 | 35642 | (564) |
|  | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
|  |  | British Pound | Sell | 3/15/23 | 193363 | 191547 | (1816) |
|  |  | Canadian Dollar | Sell | 4/19/23 | 182520 | 179427 | (3093) |
|  |  | Euro | Sell | 3/15/23 | 436331 | 423030 | (13301) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 13741 | 13698 | (43) |
|  |  | Swiss Franc | Buy | 3/15/23 | 11958 | 11643 | 315 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  |  | British Pound | Buy | 3/15/23 | 1851 | 1952 | (101) |
|  |  | Euro | Sell | 3/15/23 | 267597 | 259455 | (8142) |
|  |  | Japanese Yen | Buy | 2/15/23 | 1942116 | 1910329 | 31787 |
|  |  | Japanese Yen | Sell | 2/15/23 | 1942116 | 1923138 | (18978) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1804792 | 1801429 | 3363 |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 1714668 | 1659680 | (54988) |
|  | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** | **NatWest Markets PLC** |
|  |  | Japanese Yen | Buy | 2/15/23 | 543507 | 533692 | 9815 |
|  |  | Japanese Yen | Sell | 2/15/23 | 543507 | 542475 | (1032) |
|  |  | Japanese Yen | Buy | 5/17/23 | 550498 | 549460 | 1038 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 572555 | 567055 | (5500) |
|  | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** |
|  |  | Australian Dollar | Sell | 4/19/23 | 1325275 | 1277128 | (48147) |
|  |  | British Pound | Sell | 3/15/23 | 153506 | 153362 | (144) |
|  |  | Canadian Dollar | Sell | 4/19/23 | 2385619 | 2344854 | (40765) |
|  |  | Euro | Sell | 3/15/23 | 2269183 | 2199175 | (70008) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 263798 | 264859 | 1061 |
|  |  | Swedish Krona | Sell | 3/15/23 | 485089 | 487018 | 1929 |
|  |  | Swiss Franc | Buy | 3/15/23 | 95562 | 95559 | 3 |
|  | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
|  |  | British Pound | Sell | 3/15/23 | 40104 | 39729 | (375) |
|  |  | Canadian Dollar | Sell | 4/19/23 | 625697 | 615126 | (10571) |
|  |  | Japanese Yen | Buy | 2/15/23 | 6959 | 6229 | 730 |
|  |  | Japanese Yen | Sell | 2/15/23 | 6959 | 6946 | (13) |
|  |  | Japanese Yen | Buy | 5/17/23 | 7048 | 7035 | 13 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 278955 | 280148 | 1193 |
|  |  | Swedish Krona | Sell | 3/15/23 | 592891 | 595592 | 2701 |
|  | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
|  |  | British Pound | Buy | 3/15/23 | 617 | 610 | 7 |
|  |  | Canadian Dollar | Sell | 4/19/23 | 33616 | 33044 | (572) |
|  |  | Euro | Sell | 3/15/23 | 97774 | 94843 | (2931) |
|  |  | Japanese Yen | Buy | 2/15/23 | 1058103 | 947359 | 110744 |
|  |  | Japanese Yen | Sell | 2/15/23 | 1058103 | 1056200 | (1903) |
|  |  | Japanese Yen | Buy | 5/17/23 | 1071714 | 1069826 | 1888 |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 34401 | 33302 | (1099) |
|  |  | Swedish Krona | Sell | 3/15/23 | 7534 | 7569 | 35 |
|  | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** |
|  |  | Australian Dollar | Sell | 4/19/23 | 217469 | 209599 | (7870) |
|  |  | Euro | Sell | 3/15/23 | 12208 | 12017 | (191) |
|  |  | Japanese Yen | Buy | 2/15/23 | 20882 | 20856 | 26 |
|  |  | Japanese Yen | Sell | 2/15/23 | 20882 | 18895 | (1987) |
|  |  | New Zealand Dollar | Sell | 4/19/23 | 84644 | 81924 | (2720) |
|  |  | Swiss Franc | Sell | 3/15/23 | 4173 | 4203 | 30 |
|  | **Unrealized appreciation** | **Unrealized appreciation** |  |  |  |  | **217891** |
|  | **Unrealized (depreciation)** | **Unrealized (depreciation)** |  |  |  |  | **(307273)** |
|  | **Total** |  |  |  |  |  | **$(89382)** |
| \* | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| | **Number of contracts** | **Notional amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| U.S. Treasury Note 2 yr (Short) | 533 | $109610617 | $109610617 | &nbsp;&nbsp;&nbsp;Mar-23 | $(422372) |
| U.S. Treasury Note Ultra 10 yr (Short) | 19 | 2302859 | 2302859 | &nbsp;&nbsp;&nbsp;Mar-23 | (41027) |
| **Unrealized appreciation** |  |  |  |  | **—** |
| **Unrealized (depreciation)** |  |  |  |  | **(463399)** |
| **Total** |  |  |  |  | **$(463399)** |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date** | **Expiration date/strike** | | **Notional/<br>Contract amount** | **Premium receivable/<br>(payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | $52095000 | $(599093) | $915309 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | 52095000 | (599093) | (411030) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 |  | 45010100 | 617764 | 541472 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 |  | 22505100 | (1086996) | (865771) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 |  | 11252500 | 175539 | 153822 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 8796000 | (570421) | 68081 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 8796000 | (570421) | (181901) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 |  | 8588000 | (446576) | (37444) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 |  | 8588000 | (437988) | (76090) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 |  | 8330400 | (420685) | (27740) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 |  | 8330400 | (420685) | (67143) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 |  | 7876800 | (387426) | (307274) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 6653800 | (476412) | 796260 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 6653800 | (476412) | (326702) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 5975800 | (883223) | (37827) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 5975800 | (883223) | (182620) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 3414900 | (507113) | 3244 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 3414900 | (507113) | (130893) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 3388500 | (247361) | 417192 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 3388500 | (247361) | (171831) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 3193900 | 232356 | 30470 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 3193900 | 232356 | 24210 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 2999900 | (390737) | 414706 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 2999900 | (390737) | (260121) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 1264800 | 98781 | 8866 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 1264800 | 98781 | 8044 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 |  | 127500 | (16575) | 6481 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 |  | 127500 | (16575) | (8814) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.396)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 9221600 | 498029 | 258151 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.396/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.396 | EUR | 9221600 | 498029 | (68072) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.406)/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 3015500 | 163611 | 84121 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.406/6 month EUR-EURIBOR/Aug-34 (Written) | Aug-24/2.406 | EUR | 3015500 | 163611 | (19834) |
| **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 |  | $3001900 | (363680) | 159521 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 |  | 3001900 | (363680) | (148264) |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;2.703/US SOFR/Jul-33 (Purchased) | Jul-23/2.703 |  | 36145700 | (402918) | (62171) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.643/US SOFR/Jul-33 (Purchased) | Jul-23/2.643 |  | 36145700 | (402918) | (108437) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 |  | 34511100 | (395152) | (46935) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/US SOFR/Apr-28 (Purchased) | Apr-23/3.27 |  | 34511100 | (395152) | (93870) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 32953000 | (1074268) | 1259793 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 32953000 | (1074268) | (638629) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 15499500 | (206608) | 210793 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 15499500 | (206608) | (101522) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.887)/US SOFR/Jan-35 (Written) | Jan-25/1.887 |  | 12651000 | 217406 | 49212 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.25)/US SOFR/Jan-34 (Written) | Jan-24/2.25 |  | 12651000 | 164782 | 41116 |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.947)/US SOFR/Jan-35 (Written) | Jan-25/1.947 |  | 12651000 | 217406 | 36182 |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.311)/US SOFR/Jan-34 (Written) | Jan-24/2.311 |  | 12651000 | 164782 | 27326 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 |  | 12287500 | (148679) | (46693) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6581000 | (486007) | 337605 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6581000 | (486007) | (217765) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 5473600 | (409699) | 856892 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 5473600 | (409699) | (407947) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 4497300 | (339321) | 724110 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 4497300 | (339321) | (337837) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 4414500 | (326342) | 707733 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 4414500 | (326342) | (324907) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 2929600 | (213421) | 109274 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 2929600 | (213421) | (81794) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 2670500 | (393899) | 98835 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 2670500 | (393899) | (101746) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 1026000 | (132098) | (2637) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 1026000 | (132098) | (81567) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 126823600 | 406903 | 390190 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 63411800 | (400007) | (383296) |
| **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.40)/US SOFR/May-57 (Purchased) | May-27/2.40 |  | $17014700 | (2194896) | 368368 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.40/US SOFR/May-57 (Purchased) | May-27/2.40 |  | 17014700 | (2194896) | (558593) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.92/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 |  | 8214400 | (179485) | 333176 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.92)/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 |  | 8214400 | (179485) | (179238) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 1042500 | (131616) | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 1042500 | (131616) | (55753) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 11951600 | (1006922) | (33584) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 11951600 | (1006922) | (104577) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 10683100 | 227951 | 187809 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 10683100 | 227951 | (417175) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 4541400 | 384657 | 139648 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 4541400 | 384657 | (96777) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.187/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 |  | 4027900 | (260001) | 2054 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.187)/US SOFR/Jan-36 (Purchased) | Jan-26/3.187 |  | 4027900 | (260001) | (63198) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1876300 | 110889 | 63982 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1876300 | 110889 | (108281) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 6301900 | (529932) | 77043 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 6301900 | (529932) | (104755) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3080500 | (115473) | 304238 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 3080500 | (115473) | (89410) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2708400 | (168430) | 267125 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2708400 | (168430) | (108605) |
| &nbsp;&nbsp;&nbsp;&nbsp;(4.12)/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2678200 | (139722) | 7032 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.12/6 month AUD-BBR-BBSW/Jan-43 (Purchased) | Jan-33/4.12 | AUD | 2678200 | (139722) | (8620) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2049600 | (63945) | 229622 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 2049600 | (63945) | (58780) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1475600 | (87270) | 268023 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 1475600 | (87270) | (78981) |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | $1569900 | (179126) | (67898) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | 1569900 | (179126) | (104131) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 1026000 | (157183) | (4350) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 1026000 | (110398) | (70763) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 395200 | (50092) | 8015 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 395200 | (50092) | (16741) |
| **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 3722200 | (194671) | 253631 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 3722200 | (194671) | (127746) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 1097000 | (76516) | 44637 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 1097000 | (76516) | (29081) |
| **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2683700 | (142840) | 105076 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2683700 | (142840) | (48797) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2119200 | (128674) | 34943 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 2119200 | (128674) | (29513) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 31838700 | (183629) | (92418) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 31838700 | (183629) | (112494) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.255)/3 month EUR-EURIBOR/Sep-24 (Purchased) | Sep-23/3.255 | EUR | 10451200 | (67250) | (33972) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.255/3 month EUR-EURIBOR/Sep-24 (Purchased) | Sep-23/3.255 | EUR | 10451200 | (67250) | (48175) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4469600 | (350650) | 568323 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 4469600 | (350650) | (186688) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3027100 | (419688) | 219668 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 3027100 | (419688) | (196105) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1489900 | (225445) | 260682 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 1489900 | (225445) | (119813) |
| **Unrealized appreciation** |  |  |  |  | **12482242** |
| **Unrealized (depreciation)** |  |  |  |  | **(9722136)** |
| **Total** |  |  |  |  | **$2760106** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $269,469,687) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $269,469,687) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $269,469,687) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 1/31/23 (proceeds receivable $269,469,687) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Uniform Mortgage-Backed Securities, 6.00%, 2/1/53 | $14000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$14383907 |
| Uniform Mortgage-Backed Securities, 5.50%, 2/1/53 | 33000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33525954 |
| Uniform Mortgage-Backed Securities, 5.00%, 2/1/53 | 137000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137545863 |
| Uniform Mortgage-Backed Securities, 4.50%, 2/1/53 | 42000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41484845 |
| Uniform Mortgage-Backed Securities, 4.00%, 2/1/53 | 7000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6757188 |
| Uniform Mortgage-Backed Securities, 3.00%, 2/1/53 | 14000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12707181 |
| Uniform Mortgage-Backed Securities, 2.50%, 2/1/53 | 14000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12253275 |
| Uniform Mortgage-Backed Securities, 2.00%, 2/1/53 | 14000000 | 2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11783192 |
| **Total** |  |  | **$270441405** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/23 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $5643600 | $899364 | $236392 | 9/1/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(673688) |
|  |  | 15664000 | 571109 | 757 | 12/23/23 | &nbsp;&nbsp;0.695% — Annually | US SOFR — Annually | 634851 |
|  |  | 11952000 | 1058230 | 1027 | 12/23/26 | &nbsp;&nbsp;1.085% — Annually | US SOFR — Annually | 1102137 |
|  |  | 2726000 | 399795 | 329 | 12/23/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 409299 |
|  |  | 1863000 | 543530 | (3317) | 12/23/51 | &nbsp;&nbsp;US SOFR — Annually | 1.437% — Annually | (552803) |
|  |  | 26213000 | 955202 | (2667) | 12/24/23 | &nbsp;&nbsp;0.697% — Annually | US SOFR — Annually | 1044696 |
|  |  | 2921000 | 257574 | (391) | 12/24/26 | &nbsp;&nbsp;1.096% — Annually | US SOFR — Annually | 266319 |
|  |  | 7708000 | 1130687 | (3441) | 12/24/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 1149939 |
|  |  | 10761000 | 3143611 | (5816) | 12/24/51 | &nbsp;&nbsp;1.435% — Annually | US SOFR — Annually | 3167908 |
|  |  | 901000 | 247775 | (147) | 12/31/51 | &nbsp;&nbsp;1.525% — Annually | US SOFR — Annually | 249931 |
|  |  | 3179000 | 276700 | (422) | 12/31/26 | &nbsp;&nbsp;US SOFR — Annually | 1.135% — Annually | (286383) |
|  |  | 834000 | 118061 | 15018 | 12/31/31 | &nbsp;&nbsp;US SOFR — Annually | 1.355% — Annually | (105304) |
|  |  | 987200 | 61088 ***<sup>(E)</sup>*** | (22) | 1/15/47 | &nbsp;&nbsp;1.724% — Annually | US SOFR — Annually | 61066 |
|  |  | 3763000 | 925096 | (128) | 1/21/52 | &nbsp;&nbsp;1.679% — Annually | US SOFR — Annually | 927438 |
|  |  | 3135000 | 802309 | (107) | 1/19/52 | &nbsp;&nbsp;US SOFR — Annually | 1.626% — Annually | (805452) |
|  |  | 1797000 | 450220 | (61) | 2/1/52 | &nbsp;&nbsp;1.6545% — Annually | US SOFR — Annually | 452359 |
|  |  | 5673300 | 1199619 | (193) | 2/24/52 | &nbsp;&nbsp;US SOFR — Annually | 1.86% — Annually | (1201592) |
|  |  | 2443000 | 559765 | (83) | 2/29/52 | &nbsp;&nbsp;1.7674% — Annually | US SOFR — Annually | 564572 |
|  |  | 2297000 | 259171 | (31) | 2/29/32 | &nbsp;&nbsp;US SOFR — Annually | 1.75% — Annually | (262678) |
|  |  | 18881000 | 1302978 | (153) | 2/28/27 | &nbsp;&nbsp;1.675% — Annually | US SOFR — Annually | 1386643 |
|  |  | 27752000 | 962994 | (105) | 2/29/24 | &nbsp;&nbsp;US SOFR — Annually | 1.47709% — Annually | (1137200) |
|  |  | 2852100 | 336605 | (38) | 3/7/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (335267) |
|  |  | 10291300 | 1327372 | (136) | 3/9/32 | &nbsp;&nbsp;1.5475% — Annually | US SOFR — Annually | 1372969 |
|  |  | 10670700 | 1381322 | (141) | 3/9/32 | &nbsp;&nbsp;1.5415% — Annually | US SOFR — Annually | 1430510 |
|  |  | 5625000 | 642544 | (75) | 3/11/32 | &nbsp;&nbsp;1.737% — Annually | US SOFR — Annually | 657241 |
|  |  | 1963000 | 51921 | (7) | 4/7/24 | &nbsp;&nbsp;2.45% — Annually | US SOFR — Annually | 51161 |
|  |  | 4130000 | 163465 | (33) | 4/7/27 | &nbsp;&nbsp;2.469% — Annually | US SOFR — Annually | 154514 |
|  |  | 826000 | 56383 | (11) | 4/7/23 | &nbsp;&nbsp;2.3305% — Annually | US SOFR — Annually | 55599 |
|  |  | 2738000 | 453276 | (93) | 4/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.1005% — Annually | (455652) |
|  |  | 294000 | 16229 | (4) | 4/14/32 | &nbsp;&nbsp;2.4975% — Annually | US SOFR — Annually | 15133 |
|  |  | 5741000 | 687714 | (196) | 4/14/52 | &nbsp;&nbsp;US SOFR — Annually | 2.3395% — Annually | (675007) |
|  |  | 7704000 | 301149 | (62) | 4/14/27 | &nbsp;&nbsp;2.483% — Annually | US SOFR — Annually | 283310 |
|  |  | 11653000 | 317777 | (44) | 4/14/24 | &nbsp;&nbsp;2.405% — Annually | US SOFR — Annually | 322473 |
|  |  | 20689000 | 648600 | (195) | 5/2/27 | &nbsp;&nbsp;US SOFR — Annually | 2.685% — Annually | (634906) |
|  |  | 37049100 | 985136 | (140) | 5/25/24 | &nbsp;&nbsp;2.5945% — Annually | US SOFR — Annually | 1030202 |
|  |  | 318000 | 28194 | (11) | 5/25/52 | &nbsp;&nbsp;US SOFR — Annually | 2.501% — Annually | (28263) |
|  |  | 2268600 | 124750 ***<sup>(E)</sup>*** | (77) | 5/28/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 124673 |
|  |  | 4268000 | 150191 | (57) | 6/7/32 | &nbsp;&nbsp;US SOFR — Annually | 2.7565% — Annually | (144279) |
|  |  | 1489000 | 97336 | (51) | 6/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.622% — Annually | (97846) |
|  |  | 41026700 | 1219314 | (544) | 6/8/32 | &nbsp;&nbsp;US SOFR — Annually | 2.825% — Annually | (1210708) |
|  |  | 2249900 | 402575 | (282393) | 6/22/52 | &nbsp;&nbsp;2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 126662 |
|  |  | 38276500 | 667159 | (144) | 6/15/24 | &nbsp;&nbsp;US SOFR — Annually | 3.3385% — Annually | (571609) |
|  |  | 24962500 | 285821 | (202) | 6/15/27 | &nbsp;&nbsp;3.185% — Annually | US SOFR — Annually | 247797 |
|  |  | 3048800 | 31098 | (43) | 9/8/32 | &nbsp;&nbsp;US SOFR — Annually | 3.07% — Annually | (36761) |
|  |  | 7910100 | 225596 | (112) | 2/3/33 | &nbsp;&nbsp;3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 225484 |
|  |  | 10561100 | 577798 | (150) | 1/31/33 | &nbsp;&nbsp;2.545% — Annually | US SOFR — Annually | 576902 |
|  |  | 10561100 | 573257 | (150) | 1/31/33 | &nbsp;&nbsp;2.55% — Annually | US SOFR — Annually | 572359 |
|  |  | 9947100 | 585984 | (141) | 2/1/33 | &nbsp;&nbsp;2.495% — Annually | US SOFR — Annually | 585843 |
|  |  | 10966000 | 682962 | (145) | 8/2/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4275% — Annually | (726354) |
|  |  | 9726100 | 645132 | (138) | 2/1/33 | &nbsp;&nbsp;2.4075% — Annually | US SOFR — Annually | 644994 |
|  |  | 702700 | 22388 ***<sup>(E)</sup>*** | (14) | 4/1/42 | &nbsp;&nbsp;US SOFR — Annually | 2.63% — Annually | (22402) |
|  |  | 1313700 | 57921 ***<sup>(E)</sup>*** | (20) | 3/24/35 | &nbsp;&nbsp;US SOFR — Annually | 2.39% — Annually | (57941) |
|  |  | 2872700 | 214763 | (85) | 8/10/42 | &nbsp;&nbsp;2.645% — Annually | US SOFR — Annually | 224648 |
|  |  | 4869000 | 392149 | (10855) | 8/10/42 | &nbsp;&nbsp;US SOFR — Annually | 2.605% — Annually | (419645) |
|  |  | 1996400 | 164703 | (59) | 8/10/42 | &nbsp;&nbsp;2.5915% — Annually | US SOFR — Annually | 171690 |
|  |  | 13558000 | 335018 ***<sup>(E)</sup>*** | (127) | 2/6/29 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 334891 |
|  |  | 16366000 | 775421 | (216) | 8/16/32 | &nbsp;&nbsp;US SOFR — Annually | 2.613% — Annually | (832591) |
|  |  | 1463400 | 28273 ***<sup>(E)</sup>*** | (32) | 1/15/47 | &nbsp;&nbsp;2.49% — Annually | US SOFR — Annually | 28240 |
|  |  | 245000 | 7063 | (3) | 8/25/32 | &nbsp;&nbsp;US SOFR — Annually | 2.8415% — Annually | (7689) |
|  |  | 1990000 | 24895 ***<sup>(E)</sup>*** | (30) | 2/21/35 | &nbsp;&nbsp;2.785% — Annually | US SOFR — Annually | 24865 |
|  |  | 22047400 | 366869 | (83) | 9/6/24 | &nbsp;&nbsp;US SOFR — Annually | 3.413% — Annually | (376238) |
|  |  | 7283800 | 8158 ***<sup>(E)</sup>*** | (40) | 1/15/27 | &nbsp;&nbsp;US SOFR — Annually | 2.73% — Annually | (8198) |
|  |  | 10399900 | 129063 | (137) | 9/13/32 | &nbsp;&nbsp;3.043% — Annually | US SOFR — Annually | 149397 |
|  |  | 1812300 | 10330 ***<sup>(E)</sup>*** | (35) | 1/15/41 | &nbsp;&nbsp;3.0500% — Annually | US SOFR — Annually | 10295 |
|  |  | 745000 | 7115 ***<sup>(E)</sup>*** | (15) | 1/15/42 | &nbsp;&nbsp;2.9825% — Annually | US SOFR — Annually | 7100 |
|  |  | 3285000 | 32390 | (112) | 9/26/52 | &nbsp;&nbsp;2.905% — Annually | US SOFR — Annually | 41002 |
|  |  | 17083000 | 24770 | (161) | 9/26/27 | &nbsp;&nbsp;US SOFR — Annually | 3.465% — Annually | 13261 |
|  |  | 915000 | 3431 | (12) | 9/19/32 | &nbsp;&nbsp;3.24% — Annually | US SOFR — Annually | (2154) |
|  |  | 5920000 | 124083 | (78) | 9/26/32 | &nbsp;&nbsp;US SOFR — Annually | 3.449% — Annually | 119735 |
|  |  | 2457500 | 69621 ***<sup>(E)</sup>*** | (35) | 10/3/33 | &nbsp;&nbsp;3.394% — Annually | US SOFR — Annually | (69656) |
|  |  | 8207000 | 112600 | (66) | 10/4/27 | &nbsp;&nbsp;3.75% — Annually | US SOFR — Annually | (114192) |
|  |  | 17729000 | 397484 | (234) | 10/5/32 | &nbsp;&nbsp;US SOFR — Annually | 3.466% — Annually | 382056 |
|  |  | 2402000 | 18928 ***<sup>(E)</sup>*** | (36) | 10/21/36 | &nbsp;&nbsp;US SOFR — Annually | 3.116% — Annually | 18892 |
|  |  | 837000 | 10546 | (12) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | 10261 |
|  |  | 2947000 | 36749 | (42) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.337% — Annually | 36981 |
|  |  | 2947000 | 35747 | (42) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.333% — Annually | 35733 |
|  |  | 7500000 | 100425 ***<sup>(E)</sup>*** | (106) | 8/23/33 | &nbsp;&nbsp;US SOFR — Annually | 3.237% — Annually | 100319 |
|  |  | 2751000 | 31719 | (39) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.3255% — Annually | 31680 |
|  |  | 7211000 | 92301 ***<sup>(E)</sup>*** | (102) | 9/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.225% — Annually | 92199 |
|  |  | 322000 | 4134 | (5) | 11/14/32 | &nbsp;&nbsp;3.347% — Annually | US SOFR — Annually | (3719) |
|  |  | 1447000 | 5542 | (49) | 2/3/53 | &nbsp;&nbsp;2.9275% — Annually | US SOFR — Annually | 5493 |
|  |  | 2309000 | 23205 | (33) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.308% — Annually | 23173 |
|  |  | 52307000 | 676330 | (12367) | 10/7/27 | &nbsp;&nbsp;US SOFR — Annually | 3.73% — Annually | 653942 |
|  |  | 93118000 | 2350298 | (36608) | 10/7/32 | &nbsp;&nbsp;3.50% — Annually | US SOFR — Annually | (2299463) |
|  |  | 25980000 | 475954 | 17399 | 10/7/52 | &nbsp;&nbsp;US SOFR — Annually | 3.05% — Annually | 430960 |
|  |  | 9743000 | 55048 ***<sup>(E)</sup>*** | (67) | 4/8/28 | &nbsp;&nbsp;3.44% — Annually | US SOFR — Annually | (55115) |
|  |  | 26250000 | 111038 ***<sup>(E)</sup>*** | (98) | 1/31/25 | &nbsp;&nbsp;US SOFR — Annually | 4.035% — Annually | 110939 |
|  |  | 2783600 | 109897 | (39) | 1/17/33 | &nbsp;&nbsp;3.6575% — Annually | US SOFR — Annually | (109472) |
|  |  | 1011000 | 36871 ***<sup>(E)</sup>*** | (34) | 1/16/55 | &nbsp;&nbsp;2.97% — Annually | US SOFR — Annually | (36906) |
|  |  | 19803000 | 139215 ***<sup>(E)</sup>*** | (110) | 1/16/26 | &nbsp;&nbsp;US SOFR — Annually | 3.605% — Annually | 139105 |
|  |  | 2916000 | 170936 | (99) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.2571% — Annually | 166854 |
|  |  | 9496100 | 587619 ***<sup>(E)</sup>*** | (323) | 10/9/54 | &nbsp;&nbsp;3.115% — Annually | US SOFR — Annually | (587942) |
|  |  | 38617300 | 1747819 ***<sup>(E)</sup>*** | (545) | 10/10/33 | &nbsp;&nbsp;US SOFR — Annually | 3.594% — Annually | 1747275 |
|  |  | 424000 | 31461 | (14) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.3375% — Annually | 30966 |
|  |  | 1048600 | 70235 ***<sup>(E)</sup>*** | (36) | 1/24/55 | &nbsp;&nbsp;3.135% — Annually | US SOFR — Annually | (70271) |
|  |  | 3807100 | 113452 ***<sup>(E)</sup>*** | (36) | 4/13/28 | &nbsp;&nbsp;3.965% — Annually | US SOFR — Annually | (113487) |
|  |  | 1259100 | 61369 ***<sup>(E)</sup>*** | (19) | 4/4/35 | &nbsp;&nbsp;3.5575% — Annually | US SOFR — Annually | (61387) |
|  |  | 2518100 | 75316 ***<sup>(E)</sup>*** | (28) | 5/8/30 | &nbsp;&nbsp;US SOFR — Annually | 3.52% — Annually | 75288 |
|  |  | 3447400 | 27028 ***<sup>(E)</sup>*** | (30) | 4/4/32 | &nbsp;&nbsp;3.515% — Annually | US SOFR — Annually | (27058) |
|  |  | 15175400 | 857865 ***<sup>(E)</sup>*** | (214) | 11/24/33 | &nbsp;&nbsp;US SOFR — Annually | 3.708% — Annually | 857651 |
|  |  | 7280300 | 410536 ***<sup>(E)</sup>*** | (103) | 6/6/34 | &nbsp;&nbsp;US SOFR — Annually | 3.645% — Annually | 410433 |
|  |  | 555600 | 27291 ***<sup>(E)</sup>*** | (8) | 2/19/36 | &nbsp;&nbsp;US SOFR — Annually | 3.6145% — Annually | 27283 |
|  |  | 411800 | 20141 ***<sup>(E)</sup>*** | (6) | 3/3/36 | &nbsp;&nbsp;US SOFR — Annually | 3.614% — Annually | 20135 |
|  |  | 5402000 | 529828 | (184) | 10/24/52 | &nbsp;&nbsp;US SOFR — Annually | 3.4605% — Annually | 524284 |
|  |  | 14112300 | 126870 ***<sup>(E)</sup>*** | (53) | 6/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.31% — Annually | 126817 |
|  |  | 2112000 | 230673 | (72) | 10/27/32 | &nbsp;&nbsp;3.5176% — Annually | US SOFR — Annually | (229260) |
|  |  | 6127300 | 380138 ***<sup>(E)</sup>*** | (86) | 12/4/33 | &nbsp;&nbsp;US SOFR — Annually | 3.77% — Annually | 380051 |
|  |  | 1851200 | 54740 ***<sup>(E)</sup>*** | (21) | 3/24/32 | &nbsp;&nbsp;US SOFR — Annually | 3.64% — Annually | 54719 |
|  |  | 5290200 | 258426 ***<sup>(E)</sup>*** | (79) | 6/28/37 | &nbsp;&nbsp;US SOFR — Annually | 3.70% — Annually | 258347 |
|  |  | 1202300 | 50629 ***<sup>(E)</sup>*** | (23) | 6/20/40 | &nbsp;&nbsp;US SOFR — Annually | 3.75% — Annually | 50605 |
|  |  | 15665000 | 340244 | (126) | 11/1/27 | &nbsp;&nbsp;3.9195% — Annually | US SOFR — Annually | (341800) |
|  |  | 24777000 | 164519 | (93) | 11/9/24 | &nbsp;&nbsp;US SOFR — Annually | 4.7655% — Annually | 220378 |
|  |  | 15775800 | 902534 | (208) | 11/14/32 | &nbsp;&nbsp;3.88% — Annually | US SOFR — Annually | (900612) |
|  |  | 9200000 | 198720 | (121) | 11/21/32 | &nbsp;&nbsp;3.4515% — Annually | US SOFR — Annually | (186683) |
|  |  | 1165400 | 27678 | (15) | 11/25/32 | &nbsp;&nbsp;3.477% — Annually | US SOFR — Annually | (26879) |
|  |  | 35244000 | 14098 | (132) | 12/5/24 | &nbsp;&nbsp;4.3515% — Annually | US SOFR — Annually | (35238) |
|  |  | 910600 | 36278 ***<sup>(E)</sup>*** | (31) | 12/10/57 | &nbsp;&nbsp;2.47% — Annually | US SOFR — Annually | 36247 |
|  |  | 1493900 | 37049 ***<sup>(E)</sup>*** | (51) | 12/13/57 | &nbsp;&nbsp;2.558% — Annually | US SOFR — Annually | 36998 |
|  |  | 6357000 | 27399 ***<sup>(E)</sup>*** | (28822) | 3/15/33 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | (1423) |
|  |  | 5670000 | 7655 ***<sup>(E)</sup>*** | 20088 | 3/15/25 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 12434 |
|  |  | 69940000 | 1219754 ***<sup>(E)</sup>*** | (667611) | 3/15/30 | &nbsp;&nbsp;US SOFR — Annually | 3.50% — Annually | 552143 |
|  |  | 229342000 | 82563 ***<sup>(E)</sup>*** | (743660) | 3/15/25 | &nbsp;&nbsp;4.10% — Annually | US SOFR — Annually | (661097) |
|  |  | 37722000 | 617132 ***<sup>(E)</sup>*** | 661632 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | 44501 |
|  |  | 81532000 | 902559 ***<sup>(E)</sup>*** | (1141287) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | (2043847) |
|  |  | 5197000 | 35444 ***<sup>(E)</sup>*** | 254031 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | 218587 |
|  |  | 3720000 | 86639 | (49) | 12/29/32 | &nbsp;&nbsp;3.468% — Annually | US SOFR — Annually | (83723) |
|  |  | 2246000 | 105944 | (76) | 12/29/52 | &nbsp;&nbsp;US SOFR — Annually | 3.1925% — Annually | 103493 |
|  |  | 2223000 | 90587 | (76) | 12/30/52 | &nbsp;&nbsp;3.1595% — Annually | US SOFR — Annually | (88315) |
|  |  | 13221000 | 21286 | (50) | 1/6/25 | &nbsp;&nbsp;US SOFR — Annually | 4.356% — Annually | 21665 |
|  |  | 2966000 | 22304 | (24) | 1/6/28 | &nbsp;&nbsp;3.5615% — Annually | US SOFR — Annually | (20722) |
|  |  | 7716000 | 16898 | (29) | 1/6/25 | &nbsp;&nbsp;4.3875% — Annually | US SOFR — Annually | (17342) |
|  |  | 4085000 | 67852 | (54) | 1/6/33 | &nbsp;&nbsp;3.388% — Annually | US SOFR — Annually | (65174) |
|  |  | 5958000 | 74237 | (48) | 1/9/28 | &nbsp;&nbsp;3.6695% — Annually | US SOFR — Annually | (71853) |
|  |  | 263000 | 1089 | (1) | 1/9/25 | &nbsp;&nbsp;4.487% — Annually | US SOFR — Annually | (1120) |
|  |  | 6638000 | 109593 | (88) | 1/9/33 | &nbsp;&nbsp;3.3865% — Annually | US SOFR — Annually | (105771) |
|  |  | 2785000 | 6155 | (95) | 1/10/53 | &nbsp;&nbsp;2.938% — Annually | US SOFR — Annually | 8392 |
|  |  | 2482500 | 2334 | (84) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9445% — Annually | (4487) |
|  |  | 2482500 | 3078 | (84) | 1/10/53 | &nbsp;&nbsp;US SOFR — Annually | 2.943% — Annually | (5234) |
|  |  | 6141000 | 3255 | (81) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.197% — Annually | (817) |
|  |  | 12533000 | 4637 | (47) | 1/12/25 | &nbsp;&nbsp;US SOFR — Annually | 4.275% — Annually | 4342 |
|  |  | 4256000 | 29239 | (56) | 1/12/33 | &nbsp;&nbsp;3.272% — Annually | US SOFR — Annually | (26837) |
|  |  | 8161000 | 979 | (31) | 1/13/25 | &nbsp;&nbsp;US SOFR — Annually | 4.249% — Annually | (1273) |
|  |  | 3696000 | 13971 | (126) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9295% — Annually | (16222) |
|  |  | 41429000 | 79958 | (155) | 1/17/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1445% — Annually | (82960) |
|  |  | 19735000 | 33550 | (74) | 1/17/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1565% — Annually | (34881) |
|  |  | 6110000 | 29450 | (81) | 1/17/33 | &nbsp;&nbsp;US SOFR — Annually | 3.1335% — Annually | (32525) |
|  |  | 1215000 | 15005 | (41) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.8855% — Annually | (15767) |
|  |  | 1215000 | 15358 | (41) | 1/17/53 | &nbsp;&nbsp;US SOFR — Annually | 2.884% — Annually | (16121) |
|  |  | 87488000 | 93612 | (328) | 1/18/25 | &nbsp;&nbsp;US SOFR — Annually | 4.184% — Annually | (98163) |
|  |  | 27662000 | 87689 | (365) | 1/18/33 | &nbsp;&nbsp;US SOFR — Annually | 3.153% — Annually | (100480) |
|  |  | 14634000 | 8488 | (55) | 1/18/25 | &nbsp;&nbsp;US SOFR — Annually | 4.2105% — Annually | (9098) |
|  |  | 8223000 | 5674 | (280) | 1/18/53 | &nbsp;&nbsp;US SOFR — Annually | 2.9451% — Annually | (10312) |
|  |  | 35354700 | 43840 | (332) | 1/24/28 | &nbsp;&nbsp;US SOFR — Annually | 3.36% — Annually | (38902) |
|  |  | 414000 | 435 | (5) | 1/19/33 | &nbsp;&nbsp;3.178% — Annually | US SOFR — Annually | 598 |
|  |  | 6831000 | 6558 | (26) | 1/19/25 | &nbsp;&nbsp;US SOFR — Annually | 4.19% — Annually | (6866) |
|  |  | 1138000 | 159 | (15) | 1/19/33 | &nbsp;&nbsp;US SOFR — Annually | 3.192% — Annually | (313) |
|  |  | 5239000 | 26405 | (42) | 1/20/28 | &nbsp;&nbsp;3.2775% — Annually | US SOFR — Annually | 28163 |
|  |  | 17887000 | 49368 | (67) | 1/20/25 | &nbsp;&nbsp;US SOFR — Annually | 4.094% — Annually | (50714) |
|  |  | 21570000 | 48748 | (81) | 1/23/25 | &nbsp;&nbsp;US SOFR — Annually | 4.117% — Annually | (49850) |
|  |  | 5774000 | 11375 | (76) | 1/24/33 | &nbsp;&nbsp;3.167% — Annually | US SOFR — Annually | 12761 |
|  |  | 7452000 | 15873 | (60) | 1/25/28 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | (17332) |
|  |  | 37923000 | 29959 | (142) | 1/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.1885% — Annually | (30823) |
|  |  | 9981000 | 4491 | (132) | 1/30/33 | &nbsp;&nbsp;3.19529% — Annually | US SOFR — Annually | (4010) |
|  |  | 4540000 | 14977 | (37) | 2/1/28 | &nbsp;&nbsp;US SOFR — Annually | 3.4565% — Annually | 14941 |
|  | AUD | 117100 | 16465 ***<sup>(E)</sup>*** | (1) | 1/30/35 | &nbsp;&nbsp;1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 16464 |
|  | AUD | 394200 | 60201 ***<sup>(E)</sup>*** | (4) | 3/5/35 | &nbsp;&nbsp;1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 60197 |
|  | AUD | 146400 | 22905 ***<sup>(E)</sup>*** | (1) | 3/25/35 | &nbsp;&nbsp;1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 22903 |
|  | AUD | 246400 | 33236 ***<sup>(E)</sup>*** | (3) | 3/28/40 | &nbsp;&nbsp;1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 33233 |
|  | AUD | 910700 | 133937 ***<sup>(E)</sup>*** | (11) | 4/1/40 | &nbsp;&nbsp;1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 133927 |
|  | AUD | 59000 | 14377 ***<sup>(E)</sup>*** | (1) | 7/2/45 | &nbsp;&nbsp;1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 14376 |
|  | AUD | 2800000 | 299797 | (31) | 4/6/31 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (309021) |
|  | AUD | 1679200 | 275550 | 292173 | 11/24/42 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | 14169 |
|  | AUD | 3028000 | 13166 ***<sup>(E)</sup>*** | 6588 | 3/15/33 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.05% — Semiannually | (6578) |
|  | AUD | 4869000 | 2303 ***<sup>(E)</sup>*** | (3162) | 3/15/25 | &nbsp;&nbsp;3.72% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | (5465) |
|  | CAD | 5357000 | 3261 ***<sup>(E)</sup>*** | 22125 | 3/15/25 | &nbsp;&nbsp;4.15% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 18864 |
|  | CAD | 2613000 | 13983 ***<sup>(E)</sup>*** | (32086) | 3/15/33 | &nbsp;&nbsp;3.24% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | (18104) |
|  | CHF | 805000 | 13946 ***<sup>(E)</sup>*** | 1333 | 3/15/33 | &nbsp;&nbsp;Swiss Average Rate Overnight — Annually | 1.55% — Annually | (12612) |
|  | EUR | 757000 | 76956 ***<sup>(E)</sup>*** | (29) | 11/29/58 | &nbsp;&nbsp;1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 76927 |
|  | EUR | 1029500 | 233380 | (40) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (223655) |
|  | EUR | 1137000 | 278256 | (43) | 3/11/50 | &nbsp;&nbsp;1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | 271397 |
|  | EUR | 1150600 | 295031 | (44) | 3/12/50 | &nbsp;&nbsp;1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 288787 |
|  | EUR | 1295500 | 359143 | (50) | 3/26/50 | &nbsp;&nbsp;1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 355094 |
|  | EUR | 1120200 | 145615 ***<sup>(E)</sup>*** | (42) | 11/29/58 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (145658) |
|  | EUR | 1336000 | 388061 | (50) | 2/19/50 | &nbsp;&nbsp;1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 379237 |
|  | EUR | 1095100 | 286098 ***<sup>(E)</sup>*** | (42) | 6/7/54 | &nbsp;&nbsp;1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 286056 |
|  | EUR | 999500 | 321342 | (38) | 2/19/50 | &nbsp;&nbsp;0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 316161 |
|  | EUR | 531600 | 182493 | (20) | 2/21/50 | &nbsp;&nbsp;0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 180414 |
|  | EUR | 2146300 | 818913 ***<sup>(E)</sup>*** | (82) | 8/8/54 | &nbsp;&nbsp;0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 818831 |
|  | EUR | 1338400 | 599914 ***<sup>(E)</sup>*** | (50) | 6/6/54 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (599964) |
|  | EUR | 1741600 | 805690 | (66) | 2/19/50 | &nbsp;&nbsp;0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 807911 |
|  | EUR | 7327800 | 2831663 | (277) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | (2816008) |
|  | EUR | 835200 | 393903 ***<sup>(E)</sup>*** | (31) | 3/4/54 | &nbsp;&nbsp;0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 393872 |
|  | EUR | 371500 | 204717 ***<sup>(E)</sup>*** | (14) | 3/13/54 | &nbsp;&nbsp;— | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 204702 |
|  | EUR | 2672400 | 508834 ***<sup>(E)</sup>*** | (57) | 5/13/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (508891) |
|  | EUR | 1304300 | 242870 ***<sup>(E)</sup>*** | (28) | 6/24/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 242841 |
|  | EUR | 1668900 | 317692 ***<sup>(E)</sup>*** | (39) | 1/16/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 317653 |
|  | EUR | 616100 | 116048 ***<sup>(E)</sup>*** | (14) | 3/28/40 | &nbsp;&nbsp;0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 116034 |
|  | EUR | 1486800 | 606092 | (61) | 5/21/51 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (608008) |
|  | EUR | 1439000 | 310050 | (25) | 6/14/31 | &nbsp;&nbsp;0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 313746 |
|  | EUR | 1449200 | 327877 | (25) | 7/15/31 | &nbsp;&nbsp;0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 329305 |
|  | EUR | 402600 | 179303 | (16) | 9/14/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (181136) |
|  | EUR | 4360000 | 851299 | (70) | 3/7/32 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (851103) |
|  | EUR | 4204900 | 31451 ***<sup>(E)</sup>*** | (67) | 2/2/36 | &nbsp;&nbsp;2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | (31518) |
|  | EUR | 4268300 | 93966 | (64) | 9/8/32 | &nbsp;&nbsp;2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 72137 |
|  | EUR | 17670700 | 563834 ***<sup>(E)</sup>*** | (67) | 6/28/25 | &nbsp;&nbsp;1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 563767 |
|  | EUR | 2308000 | 371755 | (80) | 8/29/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (365579) |
|  | EUR | 5951400 | 287012 ***<sup>(E)</sup>*** | (68) | 9/12/29 | &nbsp;&nbsp;1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | 286944 |
|  | EUR | 17432000 | 1259497 | (167) | 9/2/27 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (1248985) |
|  | EUR | 696400 | 35833 ***<sup>(E)</sup>*** | (24) | 6/6/54 | &nbsp;&nbsp;2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 35809 |
|  | EUR | 1029000 | 39288 ***<sup>(E)</sup>*** | (35) | 6/7/54 | &nbsp;&nbsp;2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 39253 |
|  | EUR | 9692000 | 79236 | (36) | 10/10/24 | &nbsp;&nbsp;2.7975% — Annually | 6 month EUR-EURIBOR — Semiannually | 50968 |
|  | EUR | 2722200 | 117490 ***<sup>(E)</sup>*** | (40) | 2/18/36 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | 117450 |
|  | EUR | 696400 | 21305 ***<sup>(E)</sup>*** | (13) | 8/22/39 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | 21291 |
|  | EUR | 15698000 | 179365 ***<sup>(E)</sup>*** | (107) | 6/26/28 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 179258 |
|  | EUR | 1373500 | 39286 ***<sup>(E)</sup>*** | (26) | 3/28/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | 39260 |
|  | EUR | 2191000 | 52093 ***<sup>(E)</sup>*** | (19661) | 3/15/33 | &nbsp;&nbsp;2.625% — Annually | 6 month EUR-EURIBOR — Semiannually | 32431 |
|  | EUR | 6437000 | 56194 ***<sup>(E)</sup>*** | 59 | 3/15/25 | &nbsp;&nbsp;2.90% — Annually | 6 month EUR-EURIBOR — Semiannually | 56253 |
|  | GBP | 1039300 | 240590 | (21) | 5/19/31 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.754% — Annually | (252132) |
|  | GBP | 53602900 | 1368607 | 44401 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.84% — Annually | (1763913) |
|  | GBP | 53602900 | 1432048 | 66677 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.68% — Annually | (1843592) |
|  | GBP | 53602900 | 1494828 | (104100) | 9/15/23 | &nbsp;&nbsp;0.52% — Annually | Sterling Overnight Index Average — Annually | 1900784 |
|  | GBP | 21441200 | 512022 | (110) | 9/15/23 | &nbsp;&nbsp;1.065% — Annually | Sterling Overnight Index Average — Annually | 660647 |
|  | GBP | 9410000 | 127728 | (142) | 9/21/32 | &nbsp;&nbsp;3.522% — Annually | Sterling Overnight Index Average — Annually | (156516) |
|  | GBP | 1109000 | 8149 ***<sup>(E)</sup>*** | (24) | 1/14/40 | &nbsp;&nbsp;3.306% — Annually | Sterling Overnight Index Average — Annually | (8172) |
|  | GBP | 571000 | 4238 ***<sup>(E)</sup>*** | (12) | 8/20/39 | &nbsp;&nbsp;3.299% — Annually | Sterling Overnight Index Average — Annually | (4250) |
|  | GBP | 31236000 | 889565 | (131) | 11/7/24 | &nbsp;&nbsp;5.495% — Annually | Sterling Overnight Index Average — Annually | (1105620) |
|  | GBP | 12449000 | 1209556 | (200) | 11/9/32 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 4.35% — Annually | 1251915 |
|  | GBP | 816700 | 39852 ***<sup>(E)</sup>*** | (18) | 2/26/39 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.778% — Annually | 39834 |
|  | GBP | 1267000 | 8138 ***<sup>(E)</sup>*** | 137 | 3/15/25 | &nbsp;&nbsp;4.29% — Annually | Sterling Overnight Index Average — Annually | (8001) |
|  | GBP | 63000 | 503 ***<sup>(E)</sup>*** | 1117 | 3/15/33 | &nbsp;&nbsp;3.45% — Annually | Sterling Overnight Index Average — Annually | 614 |
|  | NOK | 10635000 | 6830 ***<sup>(E)</sup>*** | (2485) | 3/15/33 | &nbsp;&nbsp;6 month NOK-NIBOR-NIBR — Semiannually | 2.965% — Annually | (9315) |
|  | NZD | 1089000 | 3829 ***<sup>(E)</sup>*** | (1143) | 3/15/33 | &nbsp;&nbsp;3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | 2686 |
|  | SEK | 38558000 | 58403 ***<sup>(E)</sup>*** | (13709) | 3/15/33 | &nbsp;&nbsp;2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 44694 |
|  | **Total** |  |  | **$(1490345)** |  |  |  | **$6711368** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | $11965 | $108245 | $26466 | 5/11/63 | 300 bp — Monthly | $(14440) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 22719 | 233190 | 57015 | 5/11/63 | 300 bp — Monthly | (34160) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 46609 | 466998 | 114181 | 5/11/63 | 300 bp — Monthly | (67299) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB/P | 44403 | 481843 | 117811 | 5/11/63 | 300 bp — Monthly | (73127) |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 2789 | 10224 | 1492 | 5/11/63 | 200 bp — Monthly | 1301 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 3878 | 14670 | 2140 | 5/11/63 | 200 bp — Monthly | 1743 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 5828 | 18670 | 2724 | 5/11/63 | 200 bp — Monthly | 3111 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 8016 | 23560 | 3437 | 5/11/63 | 200 bp — Monthly | 4588 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 8498 | 31562 | 4605 | 5/11/63 | 200 bp — Monthly | 3905 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 9789 | 36452 | 5318 | 5/11/63 | 200 bp — Monthly | 4485 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 13284 | 48454 | 7069 | 5/11/63 | 200 bp — Monthly | 6234 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 15280 | 56900 | 8302 | 5/11/63 | 200 bp — Monthly | 7000 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 16700 | 62679 | 9145 | 5/11/63 | 200 bp — Monthly | 7579 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 23398 | 87128 | 12712 | 5/11/63 | 200 bp — Monthly | 10719 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 28780 | 108021 | 15760 | 5/11/63 | 200 bp — Monthly | 13062 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 31313 | 116912 | 17057 | 5/11/63 | 200 bp — Monthly | 14301 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 203965 | 361000 | 75593 | 11/18/54 | 500 bp — Monthly | 128723 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 4099 | 41000 | 10553 | 12/16/72 | 500 bp — Monthly | (6415) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 14062 | 149000 | 38353 | 12/16/72 | 500 bp — Monthly | (24146) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 24693 | 271000 | 69755 | 12/16/72 | 500 bp — Monthly | (44799) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 102843 | 1128000 | 290347 | 12/16/72 | 500 bp — Monthly | (186407) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 15130 | 138000 | 31781 | 12/16/72 | 500 bp — Monthly | (16517) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 154927 | 738221 | 272699 | 5/11/63 | 500 bp — Monthly | (117054) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 50574 | 991000 | 323661 | 1/17/47 | 500 bp — Monthly | (272123) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 2036 | 10000 | 3051 | 9/17/58 | 500 bp — Monthly | (1005) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 34922 | 171000 | 52172 | 9/17/58 | 500 bp — Monthly | (17084) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 15634 | 126000 | 22705 | 11/17/59 | 300 bp — Monthly | (6997) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 23891 | 219000 | 39464 | 11/17/59 | 300 bp — Monthly | (15445) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 22737 | 363000 | 53143 | 11/18/54 | 300 bp — Monthly | (30194) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 3709 | 73000 | 14534 | 12/16/72 | 300 bp — Monthly | (10782) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 10237 | 98000 | 17268 | 11/18/64 | 300 bp — Monthly | (6974) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15Index | &nbsp;&nbsp;BBB-/P | 3908 | 23000 | 4053 | 11/18/64 | 300 bp — Monthly | (131) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 27822 | 208000 | 67933 | 1/17/47 | 500 bp — Monthly | (39908) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 139477 | 1887000 | 356077 | 1/17/47 | 300 bp — Monthly | (215499) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (1723) | 325000 | 25870 | 12/16/72 | 200 bp — Monthly | (27466) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 41283 | 82708 | 30552 | 5/11/63 | 500 bp — Monthly | 10811 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 296 | 5000 | 996 | 12/16/72 | 300 bp — Monthly | (697) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 16780 | 106000 | 21105 | 12/16/72 | 300 bp — Monthly | (4263) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 18648 | 119000 | 23693 | 12/16/72 | 300 bp — Monthly | (4975) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 7982 | 127000 | 25286 | 12/16/72 | 300 bp — Monthly | (17230) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 28946 | 171000 | 34046 | 12/16/72 | 300 bp — Monthly | (5000) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 89 | 2000 | 348 | 12/16/72 | 300 bp — Monthly | (258) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 237 | 5000 | 871 | 12/16/72 | 300 bp — Monthly | (631) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 233 | 5000 | 871 | 12/16/72 | 300 bp — Monthly | (635) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 379 | 10000 | 1742 | 12/16/72 | 300 bp — Monthly | (1357) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 9319 | 150000 | 26430 | 11/18/64 | 300 bp — Monthly | (17024) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 15760 | 177000 | 31187 | 11/18/64 | 300 bp — Monthly | (15324) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 16361 | 177000 | 31187 | 11/18/64 | 300 bp — Monthly | (14724) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (94) | 16000 | 1285 | 12/16/72 | 200 bp — Monthly | (1373) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | &nbsp;&nbsp;B+/P | 10591 | 132000 | 41580 | 5/11/63 | 500 bp — Monthly | (30860) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 167824 | 222833 | 82315 | 5/11/63 | 500 bp — Monthly | 85726 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 272738 | 557000 | 181916 | 1/17/47 | 500 bp — Monthly | 91363 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 441 | 4000 | 586 | 11/18/54 | 300 bp — Monthly | (143) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 529 | 4000 | 796 | 12/16/72 | 300 bp — Monthly | (265) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 9980 | 64000 | 10259 | 10/17/57 | 300 bp — Monthly | (242) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.13 Index | &nbsp;&nbsp;A-/P | (7277) | 488000 | 38845 | 12/16/72 | 200 bp — Monthly | (45932) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (25) | 2000 | 161 | 12/16/72 | 200 bp — Monthly | (185) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (386) | 29000 | 2329 | 12/16/72 | 200 bp — Monthly | (2704) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 1152 | 41000 | 3292 | 12/16/72 | 200 bp — Monthly | (2125) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (382) | 65000 | 5220 | 12/16/72 | 200 bp — Monthly | (5577) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (1309) | 84000 | 6745 | 12/16/72 | 200 bp — Monthly | (8021) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 8076 | 40452 | 5902 | 5/11/63 | 200 bp — Monthly | 2190 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | 199 | 41000 | 2333 | 1/17/47 | 200 bp — Monthly | (2118) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | (96) | 99000 | 5633 | 1/17/47 | 200 bp — Monthly | (5690) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 4232 | 50000 | 10470 | 11/18/54 | 500 bp — Monthly | (6189) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 3325 | 36000 | 9266 | 12/16/72 | 500 bp — Monthly | (5906) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 4401 | 47000 | 12098 | 12/16/72 | 500 bp — Monthly | (7651) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 6237 | 68000 | 17503 | 12/16/72 | 500 bp — Monthly | (11200) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 10770 | 112000 | 28829 | 12/16/72 | 500 bp — Monthly | (17950) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 11626 | 125000 | 32175 | 12/16/72 | 500 bp — Monthly | (20427) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 22127 | 241000 | 62033 | 12/16/72 | 500 bp — Monthly | (39672) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 47886 | 133290 | 49237 | 5/11/63 | 500 bp — Monthly | (1221) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 96100 | 266580 | 98475 | 5/11/63 | 500 bp — Monthly | (2115) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 8179 | 145000 | 25549 | 11/18/64 | 300 bp — Monthly | (17286) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 6261 | 92000 | 17360 | 1/17/47 | 300 bp — Monthly | (11046) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 9516 | 143000 | 26984 | 1/17/47 | 300 bp — Monthly | (17384) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | &nbsp;&nbsp;BB+/P | 291 | 3000 | 527 | 9/17/58 | 300 bp — Monthly | (234) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **2006709** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **396841** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **(11292)** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(1573606)** |
|  | **Total** |  | **$1995417** |  |  |  | **Total** | **$(1176765)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

---

------

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 1/31/23 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | $(1039) | $140000 | $7966 | 1/17/47 | (200 bp) — Monthly | $6874 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (84868) | 352000 | 110880 | 11/17/59 | (500 bp) — Monthly | 25670 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (77265) | 303000 | 95445 | 11/17/59 | (500 bp) — Monthly | 17885 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (13254) | 127000 | 40005 | 11/17/59 | (500 bp) — Monthly | 26627 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (11403) | 104000 | 32760 | 11/17/59 | (500 bp) — Monthly | 21255 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (8181) | 119000 | 24919 | 11/18/54 | (500 bp) — Monthly | 16622 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (8376) | 116000 | 24290 | 11/18/54 | (500 bp) — Monthly | 15802 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (3839) | 74000 | 15496 | 11/18/54 | (500 bp) — Monthly | 11585 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (3775) | 74000 | 15496 | 11/18/54 | (500 bp) — Monthly | 11649 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (25218) | 70541 | 25176 | 10/17/57 | (500 bp) — Monthly | (111) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (605) | 15000 | 4577 | 9/17/58 | (500 bp) — Monthly | 3957 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (128609) | 748000 | 134790 | 11/17/59 | (300 bp) — Monthly | 5744 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (50836) | 219000 | 39464 | 11/17/59 | (300 bp) — Monthly | (11500) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (27941) | 128000 | 23066 | 11/17/59 | (300 bp) — Monthly | (4950) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (22416) | 103000 | 18561 | 11/17/59 | (300 bp) — Monthly | (3916) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (23380) | 98000 | 17660 | 11/17/59 | (300 bp) — Monthly | (5778) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (6884) | 54000 | 9731 | 11/17/59 | (300 bp) — Monthly | 2816 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (11811) | 48000 | 8650 | 11/17/59 | (300 bp) — Monthly | (3190) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (5991) | 47000 | 8469 | 11/17/59 | (300 bp) — Monthly | 2451 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (2447) | 20000 | 3604 | 11/17/59 | (300 bp) — Monthly | 1146 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (18545) | 126000 | 18446 | 11/18/54 | (300 bp) — Monthly | (172) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (37724) | 115000 | 16836 | 11/18/54 | (300 bp) — Monthly | (20955) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (16668) | 52000 | 7613 | 11/18/54 | (300 bp) — Monthly | (9085) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (5740) | 39000 | 5710 | 11/18/54 | (300 bp) — Monthly | (53) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (65030) | 370000 | 65786 | 8/17/61 | (300 bp) — Monthly | 540 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (96979) | 279000 | 49606 | 8/17/61 | (300 bp) — Monthly | (47535) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (17830) | 259000 | 46050 | 8/17/61 | (300 bp) — Monthly | 28069 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (62518) | 183000 | 32537 | 8/17/61 | (300 bp) — Monthly | (30087) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (23783) | 140000 | 24892 | 8/17/61 | (300 bp) — Monthly | 1027 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (21090) | 60000 | 10668 | 8/17/61 | (300 bp) — Monthly | (10457) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (18378) | 55000 | 9779 | 8/17/61 | (300 bp) — Monthly | (8631) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (8458) | 24000 | 4267 | 8/17/61 | (300 bp) — Monthly | (4205) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (5532) | 73000 | 14534 | 12/16/72 | (300 bp) — Monthly | 8960 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (2824) | 56000 | 11150 | 12/16/72 | (300 bp) — Monthly | 8293 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (2852) | 56000 | 11150 | 12/16/72 | (300 bp) — Monthly | 8265 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (2785) | 14000 | 2439 | 12/16/72 | (300 bp) — Monthly | (354) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | (1538) | 8000 | 1394 | 12/16/72 | (300 bp) — Monthly | (149) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (24698) | 178000 | 28533 | 10/17/57 | (300 bp) — Monthly | 3732 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (3000) | 20000 | 3206 | 10/17/57 | (300 bp) — Monthly | 194 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (1864) | 14000 | 2244 | 10/17/57 | (300 bp) — Monthly | 372 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (1656) | 7000 | 1229 | 9/17/58 | (300 bp) — Monthly | (431) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (35090) | 263000 | 82845 | 11/17/59 | (500 bp) — Monthly | 47499 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (31275) | 263000 | 82845 | 11/17/59 | (500 bp) — Monthly | 51314 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (17278) | 139000 | 43785 | 11/17/59 | (500 bp) — Monthly | 26372 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (31365) | 1214647 | 448691 | 5/11/63 | (500 bp) — Monthly | 416145 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (32595) | 218709 | 31910 | 5/11/63 | (200 bp) — Monthly | (770) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (23414) | 124913 | 18225 | 5/11/63 | (200 bp) — Monthly | (5238) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (18150) | 97797 | 14269 | 5/11/63 | (200 bp) — Monthly | (3919) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (14603) | 78682 | 11480 | 5/11/63 | (200 bp) — Monthly | (3153) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (7269) | 39563 | 5772 | 5/11/63 | (200 bp) — Monthly | (1512) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (96) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (32) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (107469) | 475000 | 149625 | 11/17/59 | (500 bp) — Monthly | 41694 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (303312) | 1794000 | 585920 | 1/17/47 | (500 bp) — Monthly | 280864 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (2270) | 15000 | 4899 | 1/17/47 | (500 bp) — Monthly | 2615 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (1147) | 7000 | 2286 | 1/17/47 | (500 bp) — Monthly | 1132 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (2155) | 20000 | 6102 | 9/17/58 | (500 bp) — Monthly | 3927 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (731) | 7000 | 2136 | 9/17/58 | (500 bp) — Monthly | 1398 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (476) | 4000 | 1220 | 9/17/58 | (500 bp) — Monthly | 741 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (49648) | 278000 | 49428 | 8/17/61 | (300 bp) — Monthly | (382) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4289) | 22000 | 3912 | 8/17/61 | (300 bp) — Monthly | (390) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (3713) | 49000 | 9756 | 12/16/72 | (300 bp) — Monthly | 6014 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (9501) | 141000 | 26607 | 1/17/47 | (300 bp) — Monthly | 17024 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (4210) | 62000 | 11699 | 1/17/47 | (300 bp) — Monthly | 7453 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (759) | 11000 | 2076 | 1/17/47 | (300 bp) — Monthly | 1310 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (312) | 3000 | 566 | 1/17/47 | (300 bp) — Monthly | 253 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (15271) | 28000 | 5863 | 11/18/54 | (500 bp) — Monthly | (9435) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (31118) | 259000 | 46050 | 8/17/61 | (300 bp) — Monthly | 14781 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (416704) | 1775000 | 334943 | 1/17/47 | (300 bp) — Monthly | (82797) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (14452) | 254000 | 80010 | 11/17/59 | (500 bp) — Monthly | 65311 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (311197) | 843690 | 206282 | 5/11/63 | (300 bp) — Monthly | (105407) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (164301) | 446586 | 109190 | 5/11/63 | (300 bp) — Monthly | (55371) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (15600) | 71125 | 10377 | 5/11/63 | (200 bp) — Monthly | (5251) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4165) | 22671 | 3308 | 5/11/63 | (200 bp) — Monthly | (867) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (290) | 1334 | 195 | 5/11/63 | (200 bp) — Monthly | (96) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (84) | 445 | 65 | 5/11/63 | (200 bp) — Monthly | (19) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (78440) | 334000 | 105210 | 11/17/59 | (500 bp) — Monthly | 26445 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (54068) | 178000 | 56070 | 11/17/59 | (500 bp) — Monthly | 1829 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (13319) | 127000 | 40005 | 11/17/59 | (500 bp) — Monthly | 26562 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (3939) | 64000 | 19526 | 9/17/58 | (500 bp) — Monthly | 15525 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (1845) | 30000 | 9153 | 9/17/58 | (500 bp) — Monthly | 7279 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (977) | 25000 | 7628 | 9/17/58 | (500 bp) — Monthly | 6626 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (676) | 9000 | 2746 | 9/17/58 | (500 bp) — Monthly | 2061 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (324) | 6000 | 1831 | 9/17/58 | (500 bp) — Monthly | 1501 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (50) | 1000 | 305 | 9/17/58 | (500 bp) — Monthly | 255 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (31018) | 184000 | 33157 | 11/17/59 | (300 bp) — Monthly | 2031 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (21346) | 173000 | 31175 | 11/17/59 | (300 bp) — Monthly | 9728 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (10998) | 127000 | 22885 | 11/17/59 | (300 bp) — Monthly | 11813 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (26573) | 109000 | 19642 | 11/17/59 | (300 bp) — Monthly | (6995) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (11034) | 87000 | 15677 | 11/17/59 | (300 bp) — Monthly | 4593 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (13752) | 63000 | 11353 | 11/17/59 | (300 bp) — Monthly | (2436) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (12857) | 56000 | 10091 | 11/17/59 | (300 bp) — Monthly | (2799) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (5421) | 25000 | 4505 | 11/17/59 | (300 bp) — Monthly | (930) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4757) | 22000 | 3964 | 11/17/59 | (300 bp) — Monthly | (806) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (6242) | 20000 | 2928 | 11/18/54 | (300 bp) — Monthly | (3326) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (4747) | 15000 | 2196 | 11/18/54 | (300 bp) — Monthly | (2560) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (1319) | 32000 | 5690 | 8/17/61 | (300 bp) — Monthly | 4352 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (4320) | 13000 | 2311 | 8/17/61 | (300 bp) — Monthly | (2017) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (22865) | 371000 | 73866 | 12/16/72 | (300 bp) — Monthly | 50785 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (1397) | 22000 | 4151 | 1/17/47 | (300 bp) — Monthly | 2742 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (2284) | 18000 | 2885 | 10/17/57 | (300 bp) — Monthly | 591 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (469) | 3000 | 481 | 10/17/57 | (300 bp) — Monthly | 10 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **1390110** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(2966976)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(458067)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(2966976)** |  |  |  | **Total** | **$932043** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 1/31/23 (Unaudited)** |
|  | **Referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | CDX NA HY Series 38 Index | &nbsp;&nbsp;B+/P | $4062 | $7928910 | $313176 | 6/20/27 | 500 bp — Quarterly | $364592 |
|  | **Total** |  | **$4062** |  |  |  |  | **$364592** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | |
|:---|:---|:---|
|  | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** |
| AUD | Australian Dollar | Australian Dollar |
| CAD | Canadian Dollar | Canadian Dollar |
| CHF | Swiss Franc | Swiss Franc |
| EUR | Euro | Euro |
| GBP | British Pound | British Pound |
| NOK | Norwegian Krone | Norwegian Krone |
| NZD | New Zealand Dollar | New Zealand Dollar |
| SEK | Swedish Krona | Swedish Krona |
| USD / $| United States Dollar | United States Dollar |
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| bp | Basis Points | Basis Points |
| CME | Chicago Mercantile Exchange | Chicago Mercantile Exchange |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| ICE | Intercontinental Exchange | Intercontinental Exchange |
| IO | Interest Only | Interest Only |
| JSC | Joint Stock Company | Joint Stock Company |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMICs | Real Estate Mortgage Investment Conduits | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2022 through January 31, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $358,152,227. | Percentages indicated are based on net assets of $358,152,227. |
| ***<sup>(NON)</sup>*** | This security is non-income-producing. | This security is non-income-producing. |
|  | Transactions during the period with any company which is under common ownership or control were as follows: | Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Shares outstanding<br>and fair<br>value as of<br>1/31/23** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\*\* | $— |
|  | **Total Short-term investments** | **$—** |
|  | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $867,826. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $867,826. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $754,101. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $754,101. |
| ***<sup>(SEGTBA)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $230,954. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $230,954. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $3,240,160. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $3,240,160. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(R)</sup>*** | Real Estate Investment Trust. | Real Estate Investment Trust. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. |
|  | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $181,082,319 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $181,082,319 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and to gain exposure to currencies. |
|  | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|  | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $814,068 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $754,101 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $814,068 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $754,101 and may include amounts related to unsettled agreements. |

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|:---|:---|:---|:---|
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| Asset-backed securities | $— | $2205823 | $— |
| Collateralized loan obligations |  | 32294692 |  |
| Convertible bonds and notes |  | 3245459 |  |
| Corporate bonds and notes |  | 50716686 |  |
| Foreign government and agency bonds and notes |  | 17927313 |  |
| Mortgage-backed securities |  | 49800855 |  |
| U.S. government and agency mortgage obligations |  | 361754633 |  |
| U.S. treasury obligations |  | 725313 |  |
| Short-term investments | 4818000 | 185779693 |  |
| **Totals by level** | **$4818000** | **$704450467** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Forward currency contracts | $— | $(89382) | $— |
| Futures contracts | (463399) |  |  |
| Forward premium swap option contracts |  | 2760106 |  |
| TBA sale commitments |  | (270441405) |  |
| Interest rate swap contracts |  | 8201713 |  |
| Credit default contracts |  | 1087367 |  |
| **Totals by level** | **$(463399)** | **$(258481601)** | **$—** |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $819300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written swap option contracts (contract amount) | $298100000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 600 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts (contract amount) | $27800000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $2344700000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $30600000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared credit default contracts (notional) | $7900000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Funds Trust

- **b. Investment Company Act file number:** 811-07513

- **c. CIK number of Registrant:** 0001005942

- **d. LEI of Registrant:** 549300S9JYWEMKQCLW53

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Core Bond Fund

- **b. EDGAR series identifier (if any):** S000024275

- **c. LEI of Series:** 549300PER537II0N8U45

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $967339125.91

**Total Liabilities:** $609008003.84

**Net Assets:** $358331122.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 8672.25 | **1-Year:** 13688.42 | **5-Year:** 13928.16 | **10-Year:** 10183 | **30-Year:** -508.39

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

- **3-Month:** 201.03 | **1-Year:** 2981.43 | **5-Year:** 8559.85 | **10-Year:** 5381.94 | **30-Year:** 639.49

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000071713 | 0.54%                | 0.11%                | 2.35%                |
| Class ID C000071714 | 0.52%                | -0.04%               | 2.33%                |
| Class ID C000071715 | 0.49%                | 0.07%                | 2.31%                |
| Class ID C000071716 | 0.45%                | 0.02%                | 2.28%                |
| Class ID C000174702 | 0.42%                | 0.11%                | 2.34%                |
| Class ID C000071712 | 0.48%                | 0.06%                | 2.29%                |
| Class ID C000118006 | 0.54%                | 0.11%                | 2.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7552312.12             | $13992407.92                               |
| Month 2  | $3999484.71              | $-7124894.29                               |
| Month 3  | $-3032354.29             | $14094432.57                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2006-15                                              | ASSET BACKED SECURITY                 | CUSIP: 3622E8AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742746 | PA      | $247549.91    | 0.07%             | 2036-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-2 LLC                                                          | ASSET BACKED SECURITY                 | CUSIP: 00142DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $394241.60    | 0.11%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD                                                | ASSET BACKED SECURITY                 | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    572287 | PA      | $566773.85    | 0.16%             | 2029-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO V-B LTD                                         | ASSET BACKED SECURITY                 | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    631000 | PA      | $626811.42    | 0.17%             | 2031-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 13 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 98876NAA2<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-MBS          | CORP              | KY        |   1214000 | PA      | $1197016.14   | 0.33%             | 2032-07-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 29 LTD                                          | ASSET BACKED SECURITY                 | CUSIP: 67591JAL6<br>LEI: 5493003U22XL00FIHD56 | Long             | ABS-MBS          | CORP              | KY        |    528000 | PA      | $521655.02    | 0.15%             | 2033-01-24      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 4 LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1054000 | PA      | $1040673.22   | 0.29%             | 2034-07-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO II LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1119000 | PA      | $1105596.62   | 0.31%             | 2032-04-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| 1828 CLO LTD                                                                | ASSET BACKED SECURITY                 | CUSIP: 282523AH2<br>LEI: 549300TR3WW6GC2PC544 | Long             | ABS-CBDO         | CORP              | KY        |    796970 | PA      | $792251.57    | 0.22%             | 2031-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    902000 | PA      | $889758.96    | 0.25%             | 2034-07-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $737008.50    | 0.21%             | 2034-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| NASSAU 2019-I LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 63171NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    379000 | PA      | $373159.61    | 0.10%             | 2031-04-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-C                                      | ASSET BACKED SECURITY                 | CUSIP: 105692AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394615 | PA      | $343314.88    | 0.10%             | 2061-03-01      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVI LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 83614XAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    724000 | PA      | $704478.79    | 0.20%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 2 LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1245000 | PA      | $1223547.41   | 0.34%             | 2034-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-1 LLC                                                          | ASSET BACKED SECURITY                 | CUSIP: 00141YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    365000 | PA      | $359624.65    | 0.10%             | 2034-04-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2018-1                           | ASSET BACKED SECURITY                 | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491749.00    | 0.14%             | 2031-10-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| REGATTA XX FUNDING LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 75884YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    341000 | PA      | $335356.79    | 0.09%             | 2034-10-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 56579AAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $492474.50    | 0.14%             | 2032-04-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| NASSAU 2020-I LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 631715AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244465.25    | 0.07%             | 2035-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXII LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    619000 | PA      | $608793.93    | 0.17%             | 2034-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ARES LXI CLO LTD                                                            | ASSET BACKED SECURITY                 | CUSIP: 04019DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $494145.00    | 0.14%             | 2034-10-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-1 LTD                                               | ASSET BACKED SECURITY                 | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-MBS          | CORP              | KY        |   1000000 | PA      | $984948.00    | 0.27%             | 2034-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD                             | ASSET BACKED SECURITY                 | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    847424 | PA      | $839655.18    | 0.23%             | 2031-04-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 92331MAG3<br>LEI: 549300XGJ8CFTLD6FC04 | Long             | ABS-MBS          | CORP              | KY        |   1200000 | PA      | $1166853.60   | 0.33%             | 2029-01-20      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| ALLEGANY PARK CLO LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 017154AL9<br>LEI: 549300D5KL0IVFLIND32 | Long             | ABS-MBS          | CORP              | KY        |    750000 | PA      | $732097.50    | 0.20%             | 2035-01-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3-R LTD                           | ASSET BACKED SECURITY                 | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    621879 | PA      | $616101.22    | 0.17%             | 2031-07-27      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XII                                                              | ASSET BACKED SECURITY                 | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-MBS          | CORP              | KY        |   1071000 | PA      | $1061419.91   | 0.30%             | 2031-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 15137EBN2<br>LEI: 5493002BI0SI5QMH0P08 | Long             | ABS-MBS          | CORP              | KY        |   1174646 | PA      | $1162217.42   | 0.32%             | 2030-07-27      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CBAM 2018-5 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-MBS          | CORP              | KY        |    881000 | PA      | $869985.74    | 0.24%             | 2031-04-17      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1                           | ASSET BACKED SECURITY                 | CUSIP: 70017WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    983000 | PA      | $949658.61    | 0.27%             | 2032-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| ICG US CLO 2015-1 LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 44931AAL3<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $489725.00    | 0.14%             | 2028-10-19      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 21 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 00178LAB5<br>LEI: 549300DYK366J47FIO80 | Long             | ABS-MBS          | CORP              | KY        |   1250000 | PA      | $1242168.75   | 0.35%             | 2030-11-02      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVIII LTD                                              | ASSET BACKED SECURITY                 | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1145624 | PA      | $1133769.78   | 0.32%             | 2030-10-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2018-1 LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $981309.00    | 0.27%             | 2031-07-17      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ARES LXIV CLO LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 04019HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $490046.50    | 0.14%             | 2035-04-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BATTERY PARK CLO II LTD                                                     | ASSET BACKED SECURITY                 | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $796944.80    | 0.22%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO VI LTD                                                          | ASSET BACKED SECURITY                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-MBS          | CORP              | JE        |    400000 | PA      | $393600.40    | 0.11%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                  | ASSET BACKED SECURITY                 | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    934000 | PA      | $918970.07    | 0.26%             | 2031-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-IV LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-MBS          | CORP              | KY        |    750798 | PA      | $742977.19    | 0.21%             | 2030-10-24      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2019-17 LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 67113LAL0<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-MBS          | CORP              | KY        |   1015000 | PA      | $999665.38    | 0.28%             | 2032-07-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2018-1 LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    785000 | PA      | $775266.00    | 0.22%             | 2031-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VIII-R LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 83607HAL9<br>LEI: 549300RPMX5HA435Q562 | Long             | ABS-MBS          | CORP              | KY        |    452251 | PA      | $445825.67    | 0.12%             | 2030-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| VENTURE 37 CLO LTD                                                          | ASSET BACKED SECURITY                 | CUSIP: 92333BAQ3<br>LEI: 549300IW5Q3C6JHMIU22 | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $490089.00    | 0.14%             | 2032-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO IX LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 47048JAX1<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-MBS          | CORP              | KY        |    400000 | PA      | $394613.20    | 0.11%             | 2034-07-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 83615CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    600000 | PA      | $591559.80    | 0.17%             | 2032-01-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                               | ASSET BACKED SECURITY                 | CUSIP: 77341LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    400000 | PA      | $392413.20    | 0.11%             | 2034-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2                              | ASSET BACKED SECURITY                 | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937203 | PA      | $900511.85    | 0.25%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF3                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12529TAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10601295 | PA      | $362403.15    | 0.10%             | 2053-01-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592GBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18945234 | PA      | $193705.54    | 0.05%             | 2047-08-10      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C5                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90270YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629691 | PA      | $6.30         | 0.00%             | 2046-03-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17                               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10199745 | PA      | $39872.84     | 0.01%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4698052 | PA      | $6986.47      | 0.00%             | 2047-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36252RAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15788129 | PA      | $97886.40     | 0.03%             | 2047-01-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 94988XAX4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |  15082015 | PA      | $141595.99    | 0.04%             | 2050-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13421659 | PA      | $97521.78     | 0.03%             | 2047-03-11      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C13                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61763BAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42647255 | PA      | $152771.00    | 0.04%             | 2046-11-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46641WAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11187735 | PA      | $48543.58     | 0.01%             | 2047-04-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088685 | PA      | $10.89        | 0.00%             | 2063-05-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 059497BW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75721 | PA      | $0.76         | 0.00%             | 2049-01-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826540 | PA      | $257.63       | 0.00%             | 2048-11-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4                                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5821893 | PA      | $224477.04    | 0.06%             | 2058-05-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 065404BF1<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |  39072548 | PA      | $1098731.76   | 0.31%             | 2061-02-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 126281BB9<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |  18459636 | PA      | $210532.15    | 0.06%             | 2050-04-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C7                                       | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10557020 | PA      | $380105.51    | 0.11%             | 2050-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C26                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12996562 | PA      | $206242.45    | 0.06%             | 2048-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS4 MORTGAGE TRUST                                               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12591QAS1<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   5783667 | PA      | $60905.48     | 0.02%             | 2047-08-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                       | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13245776 | PA      | $450478.24    | 0.13%             | 2051-02-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 MORTGAGE TRUST                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |  49151353 | PA      | $118307.31    | 0.03%             | 2050-08-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C24                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46643GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33731875 | PA      | $330862.46    | 0.09%             | 2047-11-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322MBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8746657 | PA      | $89104.81     | 0.02%             | 2047-05-10      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE20 MORTGAGE TRUST                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592LBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20523939 | PA      | $243208.67    | 0.07%             | 2047-11-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 MORTGAGE TRUST                                               | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31247578 | PA      | $387441.84    | 0.11%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK9                                                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36966496 | PA      | $1107157.66   | 0.31%             | 2054-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 MORTGAGE TRUST                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12593ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18111254 | PA      | $254982.91    | 0.07%             | 2048-05-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61691EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21285676 | PA      | $424110.71    | 0.12%             | 2049-12-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE22 MORTGAGE TRUST                                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592XBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10098298 | PA      | $153494.12    | 0.04%             | 2048-03-10      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322AAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561000 | PA      | $526562.12    | 0.15%             | 2047-03-11      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2020-FL4 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75575JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2333000 | PA      | $2278746.32   | 0.64%             | 2035-02-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C5                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026000 | PA      | $946708.98    | 0.26%             | 2045-08-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1031000 | PA      | $956876.56    | 0.27%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |    603000 | PA      | $440069.40    | 0.12%             | 2045-03-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771000 | PA      | $643562.95    | 0.18%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1248987 | PA      | $1105394.84   | 0.31%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2461000 | PA      | $502498.79    | 0.14%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 22546NAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4649202 | PA      | $1706256.98   | 0.48%             | 2041-02-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16225 | PA      | $15656.84     | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756000 | PA      | $584164.75    | 0.16%             | 2050-02-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251000 | PA      | $1194232.12   | 0.33%             | 2047-06-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |    248967 | PA      | $229231.37    | 0.06%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523000 | PA      | $405792.46    | 0.11%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166000 | PA      | $1980886.93   | 0.55%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2057000 | PA      | $1338781.38   | 0.37%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   3310000 | PA      | $1133344.00   | 0.32%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $326826.69    | 0.09%             | 2047-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                                                    | CONV. NOTE                            | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |     37000 | PA      | $33577.50     | 0.01%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS INC                                                   | CONV. NOTE                            | CUSIP: 40637HAD1<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74900.00     | 0.02%             | 2027-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                                      | CONV. NOTE                            | CUSIP: 472145AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     61000 | PA      | $59894.38     | 0.02%             | 2024-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAJ0<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |     39000 | PA      | $41788.50     | 0.01%             | 2025-05-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                         | CONV. NOTE                            | CUSIP: 925550AB1<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |     27000 | PA      | $28012.50     | 0.01%             | 2024-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONV. NOTE                            | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     53000 | PA      | $42466.25     | 0.01%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                                                 | CONV. NOTE                            | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27037.50     | 0.01%             | 2025-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                                                      | CONV. NOTE                            | CUSIP: 695127AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $45687.50     | 0.01%             | 2025-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| IRONWOOD PHARMACEUTICALS INC                                                | CONV. NOTE                            | CUSIP: 46333XAH1<br>LEI: 549300PC8MR6QHH6P296 | Long             | DBT              | CORP              | US        |     27000 | PA      | $28390.50     | 0.01%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    111000 | PA      | $109890.00    | 0.03%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                | CONV. NOTE                            | CUSIP: 45784PAK7<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     36000 | PA      | $49698.00     | 0.01%             | 2026-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONV. NOTE                            | CUSIP: 531229AB8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     21000 | PA      | $27457.50     | 0.01%             | 2023-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CONV. NOTE                            | CUSIP: 780153BP6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     51000 | PA      | $77851.50     | 0.02%             | 2025-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                               | CONV. NOTE                            | CUSIP: 977852AC6<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |     34000 | PA      | $33018.15     | 0.01%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 516544AA1<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |     36000 | PA      | $38408.40     | 0.01%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                         | CONV. NOTE                            | CUSIP: 05464CAA9<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     33000 | PA      | $35442.00     | 0.01%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                               | CONV. NOTE                            | CUSIP: 538034AZ2<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     99000 | PA      | $106177.50    | 0.03%             | 2029-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                        | CONV. NOTE                            | CUSIP: 477143AP6<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |     39000 | PA      | $30829.50     | 0.01%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                                      | CONV. NOTE                            | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20889.00     | 0.01%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JOHN BEAN TECHNOLOGIES CORP                                                 | CONV. NOTE                            | CUSIP: 477839AB0<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |     44000 | PA      | $40546.00     | 0.01%             | 2026-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ETSY INC                                                                    | CONV. NOTE                            | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |     58000 | PA      | $52165.20     | 0.01%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY INC/THE                                                  | CONV. NOTE                            | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |     36000 | PA      | $31297.50     | 0.01%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                                         | CONV. NOTE                            | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |     48000 | PA      | $40080.00     | 0.01%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UPWORK INC                                                                  | CONV. NOTE                            | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |     39000 | PA      | $30665.70     | 0.01%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BEAUTY HEALTH CO/THE                                                        | CONV. NOTE                            | CUSIP: 88331LAA6<br>LEI: 5493001Z2JZQT4C63C50 | Long             | DBT              | CORP              | US        |     35000 | PA      | $28634.38     | 0.01%             | 2026-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IMPINJ INC                                                                  | CONV. NOTE                            | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |     42000 | PA      | $57489.60     | 0.02%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PERFICIENT INC                                                              | CONV. NOTE                            | CUSIP: 71375UAF8<br>LEI: 549300HTBXKL2755T650 | Long             | DBT              | CORP              | US        |     42000 | PA      | $33994.80     | 0.01%             | 2026-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HBK6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     43000 | PA      | $33862.50     | 0.01%             | 2027-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONMED CORP                                                                 | CONV. NOTE                            | CUSIP: 207410AG6<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19981.50     | 0.01%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |     58000 | PA      | $52635.00     | 0.01%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MONGODB INC                                                                 | CONV. NOTE                            | CUSIP: 60937PAD8<br>LEI: 549300TPTG69WKWE1Z37 | Long             | DBT              | CORP              | US        |     24000 | PA      | $29400.00     | 0.01%             | 2026-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| PEGASYSTEMS INC                                                             | CONV. NOTE                            | CUSIP: 705573AB9<br>LEI: 549300FMCOKPL06FYN26 | Long             | DBT              | CORP              | US        |     67000 | PA      | $58415.63     | 0.02%             | 2025-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                                         | CONV. NOTE                            | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |     77000 | PA      | $68722.50     | 0.02%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                        | CONV. NOTE                            | CUSIP: 09857LAN8<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     44000 | PA      | $62647.20     | 0.02%             | 2025-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BURLINGTON STORES INC                                                       | CONV. NOTE                            | CUSIP: 122017AB2<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     27000 | PA      | $33446.25     | 0.01%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                       | CONV. NOTE                            | CUSIP: 844741BG2<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |     62000 | PA      | $74338.00     | 0.02%             | 2025-05-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL VISION HOLDINGS INC                                                | CONV. NOTE                            | CUSIP: 63845RAB3<br>LEI: 549300JHURCBLI5ROA42 | Long             | DBT              | CORP              | US        |     20000 | PA      | $28650.00     | 0.01%             | 2025-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                                                  | CONV. NOTE                            | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |     46000 | PA      | $48438.00     | 0.01%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL INC                                                 | CONV. NOTE                            | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |     36000 | PA      | $40500.00     | 0.01%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ZILLOW GROUP INC                                                            | CONV. NOTE                            | CUSIP: 98954MAH4<br>LEI: 2549002XEELQDIR6FU05 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25612.50     | 0.01%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                                                   | CONV. NOTE                            | CUSIP: 338307AD3<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |     26000 | PA      | $24557.00     | 0.01%             | 2025-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TELADOC HEALTH INC                                                          | CONV. NOTE                            | CUSIP: 87918AAF2<br>LEI: 549300I2PVFBC9MFAC61 | Long             | DBT              | CORP              | US        |     37000 | PA      | $29670.30     | 0.01%             | 2027-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                | CONV. NOTE                            | CUSIP: 723787AP2<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     14000 | PA      | $32935.00     | 0.01%             | 2025-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SPLUNK INC                                                                  | CONV. NOTE                            | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |     78000 | PA      | $67126.80     | 0.02%             | 2027-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PALO ALTO NETWORKS INC                                                      | CONV. NOTE                            | CUSIP: 697435AF2<br>LEI: 549300QXR2YVZV231H43 | Long             | DBT              | CORP              | US        |     27000 | PA      | $44253.00     | 0.01%             | 2025-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| OKTA INC                                                                    | CONV. NOTE                            | CUSIP: 679295AF2<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |     63000 | PA      | $53424.00     | 0.01%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                                                 | CONV. NOTE                            | CUSIP: 23804LAB9<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |     32000 | PA      | $35040.00     | 0.01%             | 2025-06-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC                                                                 | CONV. NOTE                            | CUSIP: 98980GAB8<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |     23000 | PA      | $25127.50     | 0.01%             | 2025-07-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                           | CONVERTIBLE BONDS                     | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     93000 | PA      | $60849.17     | 0.02%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLDINGS INC                                            | CONVERTIBLE BONDS                     | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |     51000 | PA      | $40647.00     | 0.01%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AJ1<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |    175000 | PA      | $161700.00    | 0.05%             | 2049-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CONVERTIBLE BONDS                     | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     48000 | PA      | $49032.00     | 0.01%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CYBERARK SOFTWARE LTD                                                       | CONVERTIBLE ZERO                      | CUSIP: 23248VAB1<br>LEI: 529900YEXNDM894PWS93 | Long             | DBT              | CORP              | IL        |     28000 | PA      | $30783.20     | 0.01%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                                  | CONVERTIBLE ZERO                      | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17170.00     | 0.00%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EVERBRIDGE INC                                                              | CONVERTIBLE ZERO                      | CUSIP: 29978AAE4<br>LEI: 549300WCY0UMR64ATW81 | Long             | DBT              | CORP              | US        |     37000 | PA      | $31242.80     | 0.01%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                                     | CONVERTIBLE ZERO                      | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |     43000 | PA      | $29240.00     | 0.01%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CONVERTIBLE ZERO                      | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     73000 | PA      | $74095.00     | 0.02%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                    | CONVERTIBLE ZERO                      | CUSIP: 83304AAF3<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     51000 | PA      | $37638.00     | 0.01%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                       | CONVERTIBLE ZERO                      | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     26000 | PA      | $38987.00     | 0.01%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BILL HOLDINGS INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 090043AD2<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |     44000 | PA      | $35288.00     | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |     43000 | PA      | $32207.00     | 0.01%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 3D SYSTEMS CORP                                                             | CONVERTIBLE ZERO                      | CUSIP: 88554DAD8<br>LEI: 5493003HHDOCCW4OP744 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17805.00     | 0.00%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS INC                                                   | CONVERTIBLE ZERO                      | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |     41000 | PA      | $31467.50     | 0.01%             | 2026-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITY SOFTWARE INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |     42000 | PA      | $32382.00     | 0.01%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $30024.00     | 0.01%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |     48000 | PA      | $41970.00     | 0.01%             | 2025-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEGG INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 163092AF6<br>LEI: 549300AKX7O8JG0O3G77 | Long             | DBT              | CORP              | US        |     41000 | PA      | $32209.60     | 0.01%             | 2026-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 852234AJ2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     23000 | PA      | $19366.00     | 0.01%             | 2026-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 82452JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $42700.00     | 0.01%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43937.32     | 0.01%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VAIL RESORTS INC                                                            | CONVERTIBLE ZERO                      | CUSIP: 91879QAN9<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61506.25     | 0.02%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY PARTNERS LP                                                  | CONVERTIBLE ZERO                      | CUSIP: 65341BAD8<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |     56000 | PA      | $57288.00     | 0.02%             | 2025-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOX INC                                                                     | CONVERTIBLE ZERO                      | CUSIP: 10316TAB0<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |     33000 | PA      | $44236.50     | 0.01%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     52000 | PA      | $47320.00     | 0.01%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENPHASE ENERGY INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 29355AAK3<br>LEI: 5493008U7KIGMI59Z314 | Long             | DBT              | CORP              | US        |     49000 | PA      | $52689.01     | 0.01%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHAKE SHACK INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |     39000 | PA      | $28998.86     | 0.01%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    347574 | PA      | $351918.72    | 0.10%             | 2042-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                   | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.28%             | 2023-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA6                                     | CORP CMO                              | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18251 | PA      | $18380.35     | 0.01%             | 2042-09-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                | CORP CMO                              | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    112447 | PA      | $113063.78    | 0.03%             | 2042-09-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA5                                     | CORP CMO                              | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24929 | PA      | $25247.02     | 0.01%             | 2050-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     61000 | PA      | $61629.95     | 0.02%             | 2030-02-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    135000 | PA      | $139604.72    | 0.04%             | 2029-09-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                        | CORP CMO                              | CUSIP: 52474XAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    403000 | PA      | $343532.72    | 0.10%             | 2061-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                          | CORP CMO                              | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    213000 | PA      | $179264.21    | 0.05%             | 2034-01-25      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                     | CORP CMO                              | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    224828 | PA      | $217047.03    | 0.06%             | 2041-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| ROC MORTGAGE TRUST 2021-RTL1                                                | CORP CMO                              | CUSIP: 77118TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    870000 | PA      | $789525.00    | 0.22%             | 2026-08-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                     | CORP CMO                              | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    230126 | PA      | $228283.12    | 0.06%             | 2041-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R02                                | CORP CMO                              | CUSIP: 20754KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79987 | PA      | $79235.17     | 0.02%             | 2041-11-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                | CORP CMO                              | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96538 | PA      | $95451.45     | 0.03%             | 2041-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 35564KPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     47173 | PA      | $46333.50     | 0.01%             | 2042-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 35564KPV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    347000 | PA      | $335932.85    | 0.09%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    161621 | PA      | $160004.58    | 0.04%             | 2042-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1012000 | PA      | $983537.50    | 0.27%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                     | CORP CMO                              | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    292543 | PA      | $290348.90    | 0.08%             | 2042-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                     | CORP CMO                              | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2826000 | PA      | $2822467.50   | 0.79%             | 2042-03-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    916000 | PA      | $827292.73    | 0.23%             | 2024-10-22      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R07                                | CORP CMO                              | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50528 | PA      | $51567.49     | 0.01%             | 2042-06-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3                           | CORP CMO                              | CUSIP: 35563PGR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    340000 | PA      | $304281.47    | 0.08%             | 2057-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                | CORP CMO                              | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     81527 | PA      | $81259.51     | 0.02%             | 2040-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0RC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    361000 | PA      | $365512.50    | 0.10%             | 2030-03-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2020-2                                      | CORP CMO                              | CUSIP: 76123MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    381000 | PA      | $354399.15    | 0.10%             | 2060-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2                                  | CORP CMO                              | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    647000 | PA      | $583149.19    | 0.16%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST                                                        | CORP CMO                              | CUSIP: 36166RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235787 | PA      | $216951.28    | 0.06%             | 2065-04-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    383322 | PA      | $378530.21    | 0.11%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2020-2 LTD                                                    | CORP CMO                              | CUSIP: 078782AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    421000 | PA      | $432247.44    | 0.12%             | 2030-08-26      | Floating      | 13.01%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0NE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    587551 | PA      | $608115.04    | 0.17%             | 2029-08-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1188823 | PA      | $636941.09    | 0.18%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    598000 | PA      | $651633.84    | 0.18%             | 2029-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2005-3                                      | CORP CMO                              | CUSIP: 12669GTP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239153 | PA      | $205476.30    | 0.06%             | 2035-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    330787 | PA      | $276723.53    | 0.08%             | 2046-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     80631 | PA      | $81842.03     | 0.02%             | 2024-05-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QO5 TRUST                                                  | CORP CMO                              | CUSIP: 75114HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    614959 | PA      | $528864.52    | 0.15%             | 2046-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    194455 | PA      | $196156.03    | 0.05%             | 2031-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-2                                       | CORP CMO                              | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    753455 | PA      | $257927.03    | 0.07%             | 2035-05-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                       | CORP CMO                              | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |    764260 | PA      | $768081.63    | 0.21%             | 2047-02-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     27284 | PA      | $27317.62     | 0.01%             | 2031-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-1                                                | CORP CMO                              | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194814 | PA      | $182593.55    | 0.05%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    842700 | PA      | $891414.13    | 0.25%             | 2030-12-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP2                                                       | CORP CMO                              | CUSIP: 35564ABN0<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-CBDO         | CORP              | US        |   2568110 | PA      | $2546345.82   | 0.71%             | 2047-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1                               | CORP CMO                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-CBDO         | CORP              | US        |    428868 | PA      | $425733.40    | 0.12%             | 2039-11-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-AR5                                      | CORP CMO                              | CUSIP: 17311LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    316736 | PA      | $269347.77    | 0.08%             | 2037-04-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2                                    | CORP CMO                              | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    515650 | PA      | $217608.57    | 0.06%             | 2037-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-59                                              | CORP CMO                              | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1504471 | PA      | $1346661.79   | 0.38%             | 2035-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST              | CORP CMO                              | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    415146 | PA      | $388830.19    | 0.11%             | 2045-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    244086 | PA      | $246799.59    | 0.07%             | 2024-07-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |       687 | PA      | $695.01       | 0.00%             | 2024-11-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0EZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    987578 | PA      | $1017771.23   | 0.28%             | 2027-10-25      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     42507 | PA      | $43983.95     | 0.01%             | 2025-02-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      3912 | PA      | $3990.79      | 0.00%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0FZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    742203 | PA      | $740578.05    | 0.21%             | 2027-12-25      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    685597 | PA      | $723620.85    | 0.20%             | 2028-04-25      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     94313 | PA      | $99106.87     | 0.03%             | 2028-04-25      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    647342 | PA      | $685373.67    | 0.19%             | 2028-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    392021 | PA      | $361874.68    | 0.10%             | 2046-06-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    287481 | PA      | $318895.94    | 0.09%             | 2028-08-25      | Floating      | 16.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      6411 | PA      | $6812.80      | 0.00%             | 2028-08-25      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     20757 | PA      | $21962.05     | 0.01%             | 2028-08-25      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     68536 | PA      | $71993.66     | 0.02%             | 2028-09-25      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    833483 | PA      | $928922.89    | 0.26%             | 2028-10-25      | Floating      | 16.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     70087 | PA      | $73241.10     | 0.02%             | 2028-10-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    140437 | PA      | $147449.69    | 0.04%             | 2028-04-25      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR10 TRUST              | CORP CMO                              | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    225893 | PA      | $201660.26    | 0.06%             | 2035-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    370576 | PA      | $385672.89    | 0.11%             | 2024-11-25      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0LJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    181225 | PA      | $185501.44    | 0.05%             | 2029-03-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST                                                   | CORP CMO IO                           | CUSIP: 36228FCH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57002 | PA      | $142.51       | 0.00%             | 2027-09-19      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                                        | CORP. NOTE                            | CUSIP: 69369EAE9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    400000 | PA      | $398000.00    | 0.11%             | 2023-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | CORP. NOTE                            | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1060542.29   | 0.30%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    488000 | PA      | $489156.07    | 0.14%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                          | CORP. NOTE                            | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1209000 | PA      | $1201568.70   | 0.34%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | CORP. NOTE                            | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    483000 | PA      | $474581.31    | 0.13%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                        | CORP. NOTE                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    861000 | PA      | $836917.83    | 0.23%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                           | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    591000 | PA      | $514170.00    | 0.14%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTNERS HOLDINGS LLC                                    | CORP. NOTE                            | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |    835000 | PA      | $778479.03    | 0.22%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                           | CORP. NOTE                            | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    840000 | PA      | $827400.00    | 0.23%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1140781.25   | 0.32%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                        | CORP. NOTE                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    586000 | PA      | $511285.00    | 0.14%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                                                                | CORP. NOTE                            | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |    425000 | PA      | $405343.75    | 0.11%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAC5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1512400.00   | 0.42%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MINSUR SA                                                                   | CORP. NOTE                            | CUSIP: P6811TAB1<br>LEI: 254900C69MVC7SXO2G61 | Long             | DBT              | CORP              | PE        |    850000 | PA      | $758625.00    | 0.21%             | 2031-10-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                         | CORP. NOTE                            | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    430000 | PA      | $372385.92    | 0.10%             | 2030-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $560218.75    | 0.16%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    278000 | PA      | $227454.80    | 0.06%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    780000 | PA      | $781014.00    | 0.22%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                             | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    410000 | PA      | $336712.50    | 0.09%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1095259.04   | 0.31%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    450000 | PA      | $455809.72    | 0.13%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    346000 | PA      | $343405.00    | 0.10%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORP. NOTE                            | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    755000 | PA      | $696683.95    | 0.19%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1024774.20   | 0.29%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                        | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |    867000 | PA      | $807393.75    | 0.23%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    762000 | PA      | $700864.74    | 0.20%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    586000 | PA      | $595376.00    | 0.17%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV      | CORP. NOTE                            | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $926100.00    | 0.26%             | 2027-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $982869.60    | 0.27%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    605000 | PA      | $567562.60    | 0.16%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE CO                                                            | CORP. NOTE                            | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    660000 | PA      | $593539.25    | 0.17%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | PA      | $724500.00    | 0.20%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    410000 | PA      | $357987.40    | 0.10%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO JSC                                                 | CORP. NOTE                            | CUSIP: Y4596HAC1<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    560000 | PA      | $520800.00    | 0.15%             | 2027-04-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     78000 | PA      | $77754.30     | 0.02%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                        | CORP. NOTE                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993455.00    | 0.28%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                              | CORP. NOTE                            | CUSIP: 88167AAL5<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1132000 | PA      | $1128507.78   | 0.31%             | 2024-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STEVENS HOLDING CO INC                                                      | CORP. NOTE                            | CUSIP: 86024TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $304458.00    | 0.08%             | 2026-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    520000 | PA      | $519816.82    | 0.15%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                       | CORP. NOTE                            | CUSIP: 451102BT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1080222.98   | 0.30%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 032177AH0<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    793000 | PA      | $779304.89    | 0.22%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCZ1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1611920.35   | 0.45%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2161554.00   | 0.60%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $947476.25    | 0.26%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                          | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    540000 | PA      | $594727.10    | 0.17%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                        | CORPORATE BONDS                       | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   2128000 | PA      | $2025487.73   | 0.57%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    820000 | PA      | $807171.10    | 0.23%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                                         | CORPORATE BONDS                       | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    265000 | PA      | $283506.78    | 0.08%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    471000 | PA      | $388282.98    | 0.11%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    193000 | PA      | $151642.41    | 0.04%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORPORATE BONDS                       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    379000 | PA      | $334096.08    | 0.09%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1295000 | PA      | $1074934.74   | 0.30%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1543025.00   | 0.43%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    278000 | PA      | $222551.11    | 0.06%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     88000 | PA      | $84653.37     | 0.02%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | CORPORATE BONDS                       | CUSIP: 84762LAW5<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    123000 | PA      | $111724.59    | 0.03%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    140000 | PA      | $117647.60    | 0.03%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    215000 | PA      | $211099.02    | 0.06%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    440000 | PA      | $416960.35    | 0.12%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    526000 | PA      | $527643.22    | 0.15%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORPORATE BONDS                       | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    680000 | PA      | $643450.00    | 0.18%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                | CORPORATE BONDS                       | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    368000 | PA      | $337180.00    | 0.09%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    515000 | PA      | $493815.48    | 0.14%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                              | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1205400.00   | 0.34%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    520000 | PA      | $487318.00    | 0.14%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    710000 | PA      | $736574.47    | 0.21%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     85000 | PA      | $86209.55     | 0.02%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                | CORPORATE BONDS                       | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $453250.00    | 0.13%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | CORPORATE BONDS                       | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    837000 | PA      | $737531.61    | 0.21%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1324002.17   | 0.37%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    758000 | PA      | $765928.45    | 0.21%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | CORPORATE BONDS                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    930000 | PA      | $883555.80    | 0.25%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | CORPORATE BONDS                       | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   1093000 | PA      | $1038393.72   | 0.29%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $6958.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $41662.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $543506.72    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1058103.02   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $20881.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $20881.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $267597.43    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $436330.97    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1658240.00   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11081.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $36206.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $142849.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11958.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $95562.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4169.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $13741.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $263798.45    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $27964.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7839.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $278955.25    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $16568.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $315032.38    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2798.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $592890.53    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $18411.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7533.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $485088.77    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $116312.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $616.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1850.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $40104.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $153505.79    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $193363.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $97773.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2943.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2269182.65   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $12208.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $572555.37    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $15713.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $217469.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $625696.78    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2385619.37   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $84643.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $14484.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1714669.81   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $95709.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $34400.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1325275.19   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $12034.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $182519.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $33616.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $14815.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $8422.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1781871.78   | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                               | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |   7928910 | NC      | $313176.09    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FBCZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27642 | PA      | $3343.12      | 0.00%             | 2047-11-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F1XW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38473 | PA      | $5022.84      | 0.00%             | 2047-06-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31392UZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    597203 | PA      | $4480.75      | 0.00%             | 2033-07-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394PPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374328 | PA      | $2621.44      | 0.00%             | 2043-10-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 3133TBN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56272 | PA      | $281.36       | 0.00%             | 2028-11-15      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29097 | PA      | $29273.45     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27096 | PA      | $27240.64     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11396 | PA      | $11411.89     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19554 | PA      | $19881.01     | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6096 | PA      | $6131.20      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W2                                              | FNMA CMO IO                           | CUSIP: 31359UPF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    371972 | PA      | $5581.17      | 0.00%             | 2028-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W5                                              | FNMA CMO IO                           | CUSIP: 31359UWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120778 | PA      | $1812.39      | 0.00%             | 2028-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | 137000000 | PA      | $137545862.80 | 38.39%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52000000 | PA      | $52828776.00  | 14.74%            | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  33000000 | PA      | $33525954.00  | 9.36%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $16054374.40  | 4.48%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $22332589.40  | 6.23%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 156000000 | PA      | $156621566.40 | 43.71%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $14383906.60  | 4.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $14383906.60  | 4.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6569609.20   | 1.83%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $12707181.20  | 3.55%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $11783193.80  | 3.29%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4208283.50   | 1.17%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6757187.50   | 1.89%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $12253274.60  | 3.42%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $14356563.20  | 4.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  42000000 | PA      | $41484844.80  | 11.58%            | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43000000 | PA      | $42472579.20  | 11.85%            | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4376169.50   | 1.22%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15987 | PA      | $16162.85     | 0.00%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617M6FK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16774 | PA      | $16427.95     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30076 | PA      | $28556.45     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31895 | PA      | $30283.93     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72398 | PA      | $68740.43     | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13222 | PA      | $12553.61     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63789 | PA      | $60646.51     | 0.02%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26166 | PA      | $26944.08     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54487 | PA      | $55189.81     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38275 | PA      | $38912.27     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41910 | PA      | $42764.76     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19376 | PA      | $19952.97     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26451 | PA      | $2846.98      | 0.00%             | 2045-10-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33533 | PA      | $3367.75      | 0.00%             | 2046-09-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7774306.40   | 2.17%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7349476.00   | 2.05%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $11915360.40  | 3.33%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AW5<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1295000 | PA      | $1150931.25   | 0.32%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                         | GOVERNMENT BOND                       | CUSIP: V7691DAX4<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    345000 | PA      | $298856.25    | 0.08%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                        | GOVERNMENT BOND                       | CUSIP: P75744AE5<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    255000 | PA      | $251812.50    | 0.07%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BX3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    310000 | PA      | $308260.90    | 0.09%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    379000 | PA      | $377491.35    | 0.11%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    682000 | PA      | $701760.07    | 0.20%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                      | GOVERNMENT BOND                       | CUSIP: Y7276LDF2<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    690000 | PA      | $731538.00    | 0.20%             | 2045-07-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                                           | GOVERNMENT BOND                       | CUSIP: V06423AM5<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   1090000 | PA      | $714225.33    | 0.20%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOCIALIST REPUBLIC OF VIETNAM                                               | GOVERNMENT BOND                       | CUSIP: Y9384RAA8<br>LEI: 5493008AE7RS4XK4BZ08 | Long             | DBT              | NUSS              | VN        |    500000 | PA      | $492500.00    | 0.14%             | 2024-11-19      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V3R60FAZ7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    380000 | PA      | $152000.00    | 0.04%             | 2026-01-18      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                                      | GOVERNMENT BOND                       | CUSIP: Y7276LDD7<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    420000 | PA      | $381108.00    | 0.11%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                               | GOVERNMENT BOND                       | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    800000 | PA      | $625000.00    | 0.17%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                    | GOVERNMENT BOND                       | CUSIP: 836205AR5<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    255000 | PA      | $256595.28    | 0.07%             | 2025-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AU8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    630000 | PA      | $238612.50    | 0.07%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BL9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1290000 | PA      | $1285768.80   | 0.36%             | 2023-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780CS3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1194000 | PA      | $1141616.83   | 0.32%             | 2030-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                                        | GOVERNMENT BOND                       | CUSIP: P75744AJ4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    535000 | PA      | $518950.00    | 0.14%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERATIVE REPUBLIC OF BRAZIL                                               | GOVERNMENT BOND                       | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    845000 | PA      | $745807.99    | 0.21%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    572000 | PA      | $486450.88    | 0.14%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    210000 | PA      | $178614.01    | 0.05%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2170000 | PA      | $1779112.91   | 0.50%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WDP7<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    230000 | PA      | $169333.13    | 0.05%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                     | GOVERNMENT BOND                       | CUSIP: 77586RAL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1000000 | PA      | $840470.00    | 0.23%             | 2032-03-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                                           | GOVERNMENT BOND                       | CUSIP: 168863DY1<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   1520000 | PA      | $1349000.00   | 0.38%             | 2042-03-07      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PEN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |   1090000 | PA      | $1005298.18   | 0.28%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WCY9<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    870000 | PA      | $718834.02    | 0.20%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                                    | GOVERNMENT BOND                       | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    305000 | PA      | $293560.98    | 0.08%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    885000 | PA      | $885617.73    | 0.25%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    150000 | PA      | $147042.28    | 0.04%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       533 | NC      | $109610617.45 | 30.59%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        19 | NC      | $2302859.38   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    757000 | NC      | $76956.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1029500 | NC      | $233379.95    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1137000 | NC      | $278256.12    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1150600 | NC      | $295031.33    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1295500 | NC      | $359142.72    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1120200 | NC      | $145615.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1336000 | NC      | $388060.89    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1095100 | NC      | $286098.18    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    999500 | NC      | $321342.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    531600 | NC      | $182492.62    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2146300 | NC      | $818912.53    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1338400 | NC      | $599913.64    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   5643600 | NC      | $899364.10    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1741600 | NC      | $805690.18    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7327800 | NC      | $2831663.20   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    117100 | NC      | $16464.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    835200 | NC      | $393903.22    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    394200 | NC      | $60201.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    371500 | NC      | $204716.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    146400 | NC      | $22904.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    246400 | NC      | $33236.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    910700 | NC      | $133937.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2672400 | NC      | $508834.18    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1304300 | NC      | $242869.86    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     59000 | NC      | $14377.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1668900 | NC      | $317691.75    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    616100 | NC      | $116048.36    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2800000 | NC      | $299797.08    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1486800 | NC      | $606091.99    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MD509M8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   1039300 | NC      | $240589.89    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1439000 | NC      | $310050.19    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1449200 | NC      | $327876.84    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    402600 | NC      | $179302.69    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149B5<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  53602900 | NC      | $1368606.58   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149C3<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  53602900 | NC      | $1432047.55   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149D1<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  53602900 | NC      | $1494827.66   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21441200 | NC      | $512022.38    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11952000 | NC      | $1058230.08   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2726000 | NC      | $399795.16    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1863000 | NC      | $543530.25    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15664000 | NC      | $571109.44    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26213000 | NC      | $955201.72    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2921000 | NC      | $257573.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7708000 | NC      | $1130686.52   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10761000 | NC      | $3143610.93   | 0.88%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    901000 | NC      | $247775.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3179000 | NC      | $276700.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    834000 | NC      | $118061.04    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    987200 | NC      | $61087.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3763000 | NC      | $925095.92    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3135000 | NC      | $802309.20    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1797000 | NC      | $450220.38    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4360000 | NC      | $851299.33    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5673300 | NC      | $1199619.28   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27752000 | NC      | $962994.40    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2443000 | NC      | $559764.59    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2297000 | NC      | $259170.51    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18881000 | NC      | $1302977.81   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2852100 | NC      | $336604.84    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10291300 | NC      | $1327371.87   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10670700 | NC      | $1381322.12   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5625000 | NC      | $642543.75    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1963000 | NC      | $51921.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4130000 | NC      | $163465.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    826000 | NC      | $56382.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2738000 | NC      | $453275.90    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11653000 | NC      | $317777.31    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    294000 | NC      | $16228.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5741000 | NC      | $687714.39    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7704000 | NC      | $301149.36    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20689000 | NC      | $648600.15    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37049100 | NC      | $985135.57    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    318000 | NC      | $28193.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2268600 | NC      | $124750.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4268000 | NC      | $150190.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1489000 | NC      | $97335.93     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  41026700 | NC      | $1219313.52   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2249900 | NC      | $402574.61    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  38276500 | NC      | $667159.40    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24962500 | NC      | $285820.62    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4204900 | NC      | $31450.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4268300 | NC      | $93965.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3048800 | NC      | $31097.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7910100 | NC      | $225596.05    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17670700 | NC      | $563834.09    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2308000 | NC      | $371754.51    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10561100 | NC      | $577797.78    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10561100 | NC      | $573256.51    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5951400 | NC      | $287012.06    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9947100 | NC      | $585983.66    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10966000 | NC      | $682962.48    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17432000 | NC      | $1259496.67   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9726100 | NC      | $645132.21    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    702700 | NC      | $22388.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1313700 | NC      | $57921.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2872700 | NC      | $214763.05    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   4869000 | NC      | $392149.26    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1996400 | NC      | $164703.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13558000 | NC      | $335018.18    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16366000 | NC      | $775421.08    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1463400 | NC      | $28272.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    245000 | NC      | $7063.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1990000 | NC      | $24894.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22047400 | NC      | $366868.74    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7283800 | NC      | $8157.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    696400 | NC      | $35833.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10399900 | NC      | $129062.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1812300 | NC      | $10330.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    745000 | NC      | $7114.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1029000 | NC      | $39287.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3285000 | NC      | $32390.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17083000 | NC      | $24770.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    915000 | NC      | $3431.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9410000 | NC      | $127728.31    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5920000 | NC      | $124083.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1109000 | NC      | $8148.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    571000 | NC      | $4237.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2457500 | NC      | $69620.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8207000 | NC      | $112600.04    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17729000 | NC      | $397484.18    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2402000 | NC      | $18927.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    837000 | NC      | $10546.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2947000 | NC      | $36749.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2947000 | NC      | $35747.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7500000 | NC      | $100425.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2751000 | NC      | $31719.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7211000 | NC      | $92300.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    322000 | NC      | $4134.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1447000 | NC      | $5542.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2309000 | NC      | $23205.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  52307000 | NC      | $676329.51    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  93118000 | NC      | $2350298.32   | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25980000 | NC      | $475953.60    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9692000 | NC      | $79235.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  31236000 | NC      | $889564.89    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9743000 | NC      | $55047.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26250000 | NC      | $111037.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2783600 | NC      | $109896.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1011000 | NC      | $36871.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12449000 | NC      | $1209556.15   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19803000 | NC      | $139215.09    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1679200 | NC      | $275550.02    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2916000 | NC      | $170935.92    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    816700 | NC      | $39851.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2722200 | NC      | $117489.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    696400 | NC      | $21304.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9496100 | NC      | $587618.67    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  38617300 | NC      | $1747819.00   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    424000 | NC      | $31460.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15698000 | NC      | $179364.51    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1048600 | NC      | $70235.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3807100 | NC      | $113451.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1259100 | NC      | $61368.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1373500 | NC      | $39286.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2518100 | NC      | $75316.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3447400 | NC      | $27027.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15175400 | NC      | $857865.36    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7280300 | NC      | $410536.12    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    555600 | NC      | $27291.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    411800 | NC      | $20141.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5402000 | NC      | $529828.16    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14112300 | NC      | $126869.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2112000 | NC      | $230672.64    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6127300 | NC      | $380137.69    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1851200 | NC      | $54739.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5290200 | NC      | $258426.27    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1202300 | NC      | $50628.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15665000 | NC      | $340243.80    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24777000 | NC      | $164519.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15775800 | NC      | $902533.52    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9200000 | NC      | $198720.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1165400 | NC      | $27678.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35244000 | NC      | $14097.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    910600 | NC      | $36278.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1493900 | NC      | $37048.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    805000 | NC      | $13945.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1267000 | NC      | $8138.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     63000 | NC      | $503.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10635000 | NC      | $6829.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1089000 | NC      | $3829.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  38558000 | NC      | $58403.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2191000 | NC      | $52093.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6437000 | NC      | $56193.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5357000 | NC      | $3261.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6357000 | NC      | $27398.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5670000 | NC      | $7654.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2613000 | NC      | $13982.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3028000 | NC      | $13165.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4869000 | NC      | $2302.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  69940000 | NC      | $1219753.60   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 229342000 | NC      | $82563.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37722000 | NC      | $617131.92    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  81532000 | NC      | $902559.24    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5197000 | NC      | $35443.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3720000 | NC      | $86638.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2246000 | NC      | $105943.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2223000 | NC      | $90587.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13221000 | NC      | $21285.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2966000 | NC      | $22304.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7716000 | NC      | $16898.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4085000 | NC      | $67851.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5958000 | NC      | $74236.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    263000 | NC      | $1088.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6638000 | NC      | $109593.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2785000 | NC      | $6154.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2482500 | NC      | $2333.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2482500 | NC      | $3078.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6141000 | NC      | $3254.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12533000 | NC      | $4637.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4256000 | NC      | $29238.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8161000 | NC      | $979.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3696000 | NC      | $13970.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  41429000 | NC      | $79957.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19735000 | NC      | $33549.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6110000 | NC      | $29450.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1215000 | NC      | $15005.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1215000 | NC      | $15357.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  87488000 | NC      | $93612.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27662000 | NC      | $87688.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14634000 | NC      | $8487.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8223000 | NC      | $5673.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35354700 | NC      | $43839.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    414000 | NC      | $434.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6831000 | NC      | $6557.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1138000 | NC      | $159.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5239000 | NC      | $26404.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17887000 | NC      | $49368.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21570000 | NC      | $48748.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5774000 | NC      | $11374.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7452000 | NC      | $15872.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37923000 | NC      | $29959.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9981000 | NC      | $4491.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4540000 | NC      | $14977.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $1742.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    171000 | NC      | $52172.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     56000 | NC      | $11149.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $22885.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $10470.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    475000 | NC      | $149625.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     56000 | NC      | $11149.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $3051.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $2885.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     70541 | NC      | $25176.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14000 | NC      | $2244.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     71125 | NC      | $10377.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1334 | NC      | $194.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $526.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $2328.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     84000 | NC      | $6745.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $160.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    145000 | NC      | $25549.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    150000 | NC      | $26430.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $1284.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     65000 | NC      | $5219.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    177000 | NC      | $31187.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    177000 | NC      | $31187.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    138000 | NC      | $31781.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    178000 | NC      | $28533.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    126000 | NC      | $22705.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     98000 | NC      | $17267.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $585.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    259000 | NC      | $46050.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $796.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     22671 | NC      | $3307.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    446586 | NC      | $109190.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    843690 | NC      | $206282.13    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     78682 | NC      | $11479.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     39563 | NC      | $5772.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     97797 | NC      | $14268.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    124913 | NC      | $18224.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $3292.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    178000 | NC      | $56070.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     23000 | NC      | $4052.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14000 | NC      | $2438.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1393.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     82708 | NC      | $30552.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3206.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $10259.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    278000 | NC      | $49428.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    370000 | NC      | $65786.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $24892.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14670 | NC      | $2140.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    126000 | NC      | $18446.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     39000 | NC      | $5709.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $4267.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $8649.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    109000 | NC      | $19641.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     98000 | NC      | $17659.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    219000 | NC      | $39463.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     56000 | NC      | $10091.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    171000 | NC      | $34046.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62679 | NC      | $9144.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     56900 | NC      | $8301.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    103000 | NC      | $18560.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    108021 | NC      | $15760.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     48454 | NC      | $7069.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     63000 | NC      | $11352.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    128000 | NC      | $23065.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    106000 | NC      | $21104.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    116912 | NC      | $17057.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    119000 | NC      | $23692.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3911.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $4505.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     36452 | NC      | $5318.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     31562 | NC      | $4604.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3964.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     10224 | NC      | $1491.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    748000 | NC      | $134789.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    184000 | NC      | $33156.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $995.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    218709 | NC      | $31909.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    259000 | NC      | $46050.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    363000 | NC      | $53143.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $348.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $871.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $871.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    173000 | NC      | $31174.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $12097.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     87000 | NC      | $15677.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $9266.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     54000 | NC      | $9730.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $8469.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $10553.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    149000 | NC      | $38352.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     73000 | NC      | $14534.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $9755.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    112000 | NC      | $28828.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3604.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    271000 | NC      | $69755.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     68000 | NC      | $17503.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1128000 | NC      | $290347.20    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    125000 | NC      | $32175.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    241000 | NC      | $62033.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $480.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    371000 | NC      | $73866.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    325000 | NC      | $25870.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     40452 | NC      | $5902.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    219000 | NC      | $39463.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $25285.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     73000 | NC      | $14534.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    303000 | NC      | $95445.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $5689.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    488000 | NC      | $38844.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    352000 | NC      | $110880.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    334000 | NC      | $105210.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    466998 | NC      | $114181.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    233190 | NC      | $57014.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    108245 | NC      | $26465.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    481843 | NC      | $117810.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   1214647 | NC      | $448690.55    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $4899.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   1887000 | NC      | $356076.90    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1794000 | NC      | $585920.40    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    141000 | NC      | $26606.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $2075.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $11699.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $566.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $2286.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    133290 | NC      | $49237.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    266580 | NC      | $98474.57     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $2332.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     99000 | NC      | $5633.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     92000 | NC      | $17360.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    143000 | NC      | $26984.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $7966.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $4151.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    263000 | NC      | $82845.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    208000 | NC      | $67932.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    139000 | NC      | $43785.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    263000 | NC      | $82845.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    104000 | NC      | $32760.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $40005.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $40005.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1220.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $6102.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $2135.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2745.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    132000 | NC      | $41580.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    116000 | NC      | $24290.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $9153.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $19526.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $305.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1830.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    119000 | NC      | $24918.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     74000 | NC      | $15495.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     74000 | NC      | $15495.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $4576.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    254000 | NC      | $80010.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $7627.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    738221 | NC      | $272698.82    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    991000 | NC      | $323660.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1775000 | NC      | $334942.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     28000 | NC      | $5863.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    557000 | NC      | $181916.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    222833 | NC      | $82314.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    361000 | NC      | $75593.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18670 | NC      | $2724.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     55000 | NC      | $9779.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    115000 | NC      | $16836.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     23560 | NC      | $3437.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    279000 | NC      | $49606.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    183000 | NC      | $32537.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2196.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $2928.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $2311.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $10668.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     52000 | NC      | $7612.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $1229.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     87128 | NC      | $12712.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1150000 | PA      | $1089625.00   | 0.30%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD SALAAM                                                             | PERPETUAL BONDS                       | CUSIP: N/A<br>LEI: 549300SUYBT9X88E9435       | Long             | DBT              | CORP              | KY        |    530000 | PA      | $530000.00    | 0.15%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    501000 | PA      | $418425.18    | 0.12%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                               | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | Long             | RA               | CORP              | US        |  89516000 | PA      | $89516000.00  | 24.98%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES, LLC.                                                | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | Long             | RA               | CORP              | US        |  88000000 | PA      | $88000000.00  | 24.56%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   4818000 | NS      | $4818000.00   | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2119200 | NC      | $-29512.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2119200 | NC      | $34942.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4541400 | NC      | $-96777.23    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4541400 | NC      | $139648.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3027100 | NC      | $-196105.43   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3027100 | NC      | $219668.36    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   6301900 | NC      | $-104755.02   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   6301900 | NC      | $77042.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  17014700 | NC      | $-558592.60   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  17014700 | NC      | $368368.26    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3193900 | NC      | $24209.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3193900 | NC      | $30469.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1264800 | NC      | $8044.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1264800 | NC      | $8866.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    395200 | NC      | $8014.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    395200 | NC      | $-16740.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9221600 | NC      | $-68071.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9221600 | NC      | $258150.51    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3015500 | NC      | $84121.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3015500 | NC      | $-19833.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12287500 | NC      | $-46692.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  10451200 | NC      | $-33972.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  10451200 | NC      | $-48174.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  31838700 | NC      | $-112493.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  31838700 | NC      | $-92417.89    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   8214400 | NC      | $333176.06    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   8214400 | NC      | $-179238.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3414900 | NC      | $-130893.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3414900 | NC      | $3244.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  11951600 | NC      | $-33584.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  11951600 | NC      | $-104576.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5975800 | NC      | $-182620.45   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5975800 | NC      | $-37826.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8588000 | NC      | $-76089.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8588000 | NC      | $-37443.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8330400 | NC      | $-67143.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8330400 | NC      | $-27740.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8796000 | NC      | $-181901.28   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8796000 | NC      | $68081.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4027900 | NC      | $-63197.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4027900 | NC      | $2054.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  36145700 | NC      | $-108437.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12651000 | NC      | $41115.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12651000 | NC      | $49212.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  36145700 | NC      | $-62170.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12651000 | NC      | $27326.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  12651000 | NC      | $36181.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  34511100 | NC      | $-93870.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  34511100 | NC      | $-46935.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2678200 | NC      | $-8620.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2678200 | NC      | $7032.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   1042500 | NC      | $135.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   1042500 | NC      | $-55752.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1026000 | NC      | $-81567.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1026000 | NC      | $-2636.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1026000 | NC      | $-70763.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1026000 | NC      | $-4350.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1569900 | NC      | $-67898.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1569900 | NC      | $-104131.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2049600 | NC      | $-58779.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2049600 | NC      | $229621.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2999900 | NC      | $-260121.33   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2999900 | NC      | $414706.18    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6653800 | NC      | $-326701.58   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6653800 | NC      | $796260.25    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3080500 | NC      | $304237.98    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3080500 | NC      | $-89410.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3388500 | NC      | $417192.12    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3388500 | NC      | $-171830.84   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1475600 | NC      | $268022.64    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1475600 | NC      | $-78980.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2670500 | NC      | $-101746.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2670500 | NC      | $98835.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1489900 | NC      | $260681.73    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1489900 | NC      | $-119812.52   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4469600 | NC      | $-186687.61   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4469600 | NC      | $568323.33    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3722200 | NC      | $-127745.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3722200 | NC      | $253630.71    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1097000 | NC      | $44636.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1097000 | NC      | $-29081.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  11252500 | NC      | $153821.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   7876800 | NC      | $-307273.97   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    127500 | NC      | $-8814.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    127500 | NC      | $6480.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  22505100 | NC      | $-865771.20   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  45010100 | NC      | $541471.50    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2929600 | NC      | $109274.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2929600 | NC      | $-81794.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   3001900 | NC      | $-148263.84   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   3001900 | NC      | $159520.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15499500 | NC      | $-101521.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15499500 | NC      | $210793.20    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2683700 | NC      | $-48796.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2683700 | NC      | $105076.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2708400 | NC      | $-108605.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2708400 | NC      | $267125.21    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  52095000 | NC      | $-411029.55   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  52095000 | NC      | $915309.15    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  32953000 | NC      | $1259793.19   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  32953000 | NC      | $-638629.14   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  10683100 | NC      | $-417175.06   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  10683100 | NC      | $187808.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1876300 | NC      | $63981.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1876300 | NC      | $-108281.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6581000 | NC      | $-217765.29   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6581000 | NC      | $337605.30    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4497300 | NC      | $-337837.18   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4497300 | NC      | $724110.27    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5473600 | NC      | $856892.08    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5473600 | NC      | $-407947.41   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4414500 | NC      | $-324907.20   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4414500 | NC      | $707732.64    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 126823600 | NC      | $390189.86    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  63411800 | NC      | $-383296.05   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1752000 | PA      | $1721690.40   | 0.48%             | 2023-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     49000 | PA      | $48465.90     | 0.01%             | 2023-04-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $4299523.17   | 1.20%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2194013.87   | 0.61%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. BOND                          | CUSIP: 912810EX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     22000 | PA      | $24793.56     | 0.01%             | 2026-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    425000 | PA      | $371254.50    | 0.10%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 9128285C0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    334000 | PA      | $329263.88    | 0.09%             | 2025-09-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND                                      | VAR.RT. CORP. BONDS                   | CUSIP: 46556L2A1<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $367868.00    | 0.10%             | 2031-04-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer