# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-25-207215
**Filing Date:** 2025-8
**Character Count:** 236894
**Document Hash:** df4a96976770211822eb2a015750310b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207215.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207215

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 251260931

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### PIMCO Inflation Protected Bond Portfolio (Series ID: S000011099)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030630 | Class A      |  |
| C000030631 | Class B      |  |
| C000030633 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** PIMCO Inflation Protected Bond Portfolio

- **b. EDGAR series identifier (if any):** S000011099

- **c. LEI of Series:** FREHSUZCHJI3D2JRSZ18

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3574447058.50

**Total Liabilities:** $2108505946.03

**Net Assets:** $1465941112.47

**Delayed Delivery Securities:** $1824822806.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -621.85000000 | **1-Year:** -10394.75000000 | **5-Year:** -4077.52000000 | **10-Year:** -2697.76000000 | **30-Year:** -3044.37000000

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

- **3-Month:** -371.39000000 | **1-Year:** -3777.11000000 | **5-Year:** -6907.40000000 | **10-Year:** -4377.83000000 | **30-Year:** -526.09000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030630 | 0.00%                | -0.49%               | 1.16%                |
| Class ID C000030631 | -0.10%               | -0.50%               | 1.20%                |
| Class ID C000030633 | -0.10%               | -0.50%               | 1.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $337390.56               | $-715500.82                                |
| Month 2  | $1355059.65              | $-15640850.15                              |
| Month 3  | $-506947.54              | $14083887.90                               |

**Designated Index Information**

- **Index Name:** Bloomberg US TIPS

- **Index Identifier:** LBUTTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-238.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.27         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR6                                              | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35499 | PA      | $34086.90     | 0.00%             | 2035-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1953152 | PA      | $2196761.08   | 0.15%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXXIX Ltd                                                | CUSIP: 55821LAJ3<br>LEI: 254900K0MU6TXERK4I83 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $299363.40    | 0.02%             | 2034-10-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-37780.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.5 08/15/24-10Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7200000 | OU      | $181078.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2005-1                                                 | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84000 | PA      | $77255.87     | 0.01%             | 2035-03-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2100000 | PA      | $230604.95    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4299311 | PA      | $520356.63    | 0.04%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.31375 02/26/21-5Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10200000 | OU      | $1276688.20   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96413250 | PA      | $97613304.69  | 6.66%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.335 02/05/18-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13090000 | OU      | $-1487859.93  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.38 10/15/24-1Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13700000 | OU      | $-66525.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28589652 | PA      | $29655399.89  | 2.02%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $24744751.20  | 1.69%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                           | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1118640 | PA      | $732818.97    | 0.05%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224003 | PA      | $210550.50    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8296344 | PA      | $4425798.53   | 0.30%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $8037.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |          1 | NC      | $14668.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.82 02/05/25-1Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $-17158.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE2           | CUSIP: 04541GHW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1061252 | PA      | $1104925.24   | 0.08%             | 2034-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.59 12/15/22-30Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $232471.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19500 11/04/22-30Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $4102523.99   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1466 | NC      | $3370573.46   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                                        | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    1178284 | PA      | $1179291.77   | 0.08%             | 2032-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-24122.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87028 | PA      | $76947.27     | 0.01%             | 2046-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-31716.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                 | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128778 | PA      | $112143.43    | 0.01%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                 | AlbaCore Euro CLO IV DAC                                                      | CUSIP: 000000000<br>LEI: 635400OMGYX1QQYCTI48 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1176680.82   | 0.08%             | 2035-07-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.31125 02/24/21-10Y LCH                                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21200000 | OU      | $2583731.77   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE SEP25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        341 | NC      | $153640.86    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR7                                              | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88910 | PA      | $75147.00     | 0.01%             | 2035-11-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3720 | PA      | $3558.24      | 0.00%             | 2042-11-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-95100.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17741441 | PA      | $10297672.64  | 0.70%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.813 05/14/21-5Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4600000 | OU      | $432067.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-3                                                 | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    1540049 | PA      | $1535298.28   | 0.10%             | 2064-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7340 | PA      | $6875.87      | 0.00%             | 2035-09-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2004-12                                               | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133182 | PA      | $125330.83    | 0.01%             | 2034-12-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18382541 | PA      | $16915369.19  | 1.15%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-91.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                                      | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6830 | PA      | $6718.37      | 0.00%             | 2026-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332896 | PA      | $288553.94    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2015-4 Ltd                               | CUSIP: 14311NAU8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |     643843 | PA      | $644028.98    | 0.04%             | 2032-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1                   | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21446 | PA      | $20753.06     | 0.00%             | 2031-11-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   65930000 | OU      | $-2801273.40  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF17                                  | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7245817 | PA      | $6635385.94   | 0.45%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -5400000 | NC      | $-52440.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |          1 | NC      | $9358.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-328.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                      | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |     236044 | PA      | $236062.17    | 0.02%             | 2030-04-22      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | 3MO EURO EURIBOR SEP26                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       1178 | NC      | $762911.78    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19700 11/08/22-30Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12200000 | OU      | $7147460.36   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.954 06/03/19-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8650000 | OU      | $-1332168.25  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.55 04/15/22-30Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $13155.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5308140 | PA      | $5097254.92   | 0.35%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QO1 Trust                                                    | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40003 | PA      | $27990.85     | 0.00%             | 2035-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     604417 | PA      | $614539.10    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                                      | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |     770043 | PA      | $770620.56    | 0.05%             | 2030-10-24      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27817 | PA      | $26633.33     | 0.00%             | 2035-07-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Trust Series 2007-A1                                   | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13168 | PA      | $12824.72     | 0.00%             | 2037-02-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8077387 | PA      | $7736688.73   | 0.53%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    4059493 | PA      | $517871.81    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.12000 09/03/25-2Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15700000 | OU      | $-42963.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-385.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85189 | PA      | $81066.86     | 0.01%             | 2036-02-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     119857 | PA      | $118263.30    | 0.01%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11791550 | PA      | $11688317.46  | 0.80%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.842 02/13/25-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5900000 | OU      | $-16797.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.13 05/15/22-5Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $13553.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.38 03/15/21-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7040000 | OU      | $-1501315.75  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-12R                                                          | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1952021 | PA      | $1780901.27   | 0.12%             | 2037-11-30      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND SEP25                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         31 | NC      | $-82161.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     459581 | PA      | $57040.16     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $777.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $1191453.68   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $26178.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  426780000 | OU      | $43298.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4        | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54043 | PA      | $52980.54     | 0.00%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                            | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |     529326 | PA      | $528405.27    | 0.04%             | 2032-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $6853.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3147301 | PA      | $3177998.52   | 0.22%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-61                                                | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12755 | PA      | $11638.77     | 0.00%             | 2035-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4202808 | PA      | $4211412.37   | 0.29%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $12909.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD AUD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-158494.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-1T1                                               | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3047875 | PA      | $1036251.03   | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-1384.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42868182 | PA      | $40962069.72  | 2.79%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       7848 | PA      | $1151.65      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                | CUSIP: 93363PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2934797 | PA      | $2609815.72   | 0.18%             | 2036-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1469000000 | OU      | $309061.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 44 CLO Ltd                                                            | CUSIP: 92332KAQ4<br>LEI: 5493005RF0X3GB54HH60 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $497814.50    | 0.03%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                         | Dryden 35 Euro CLO 2014 DAC                                                   | CUSIP: 000000000<br>LEI: 635400BB1FXUIKRSHD56 | Long             | ABS-CBDO         | CORP              | IE        |     592185 | PA      | $696169.67    | 0.05%             | 2033-01-17      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-2                                         | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22169 | PA      | $21287.13     | 0.00%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                             | CUSIP: 17312EAC0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     707948 | PA      | $610896.63    | 0.04%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/9128282L3 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $39825.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/9128283R9 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   60000000 | OU      | $264309.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -20500000 | NC      | $-146318.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                             | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     343802 | PA      | $344311.55    | 0.02%             | 2031-04-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.98 09/19/24-1Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13200000 | OU      | $-98499.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -33900000 | NC      | $-365091.11   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17998213 | PA      | $16392798.99  | 1.12%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.                     | Crestline Denali CLO XV Ltd                                                   | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |      20108 | PA      | $20111.07     | 0.00%             | 2030-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                               | Henley CLO VII DAC                                                            | CUSIP: 000000000<br>LEI: 635400SRJSVJPTMR4D89 | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1294969.56   | 0.09%             | 2034-04-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                  | Ocean Trails CLO 8                                                            | CUSIP: 67514UAU5<br>LEI: 6354007VXPN9E9WVUW39 | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1299964.90   | 0.09%             | 2034-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS                 | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8041 | PA      | $8005.73      | 0.00%             | 2035-04-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12301846 | PA      | $11886455.12  | 0.81%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                                 | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     177791 | PA      | $177884.38    | 0.01%             | 2032-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-64453.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25148 | PA      | $24254.54     | 0.00%             | 2034-11-21      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust 2004-4                                     | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270649 | PA      | $261713.80    | 0.02%             | 2035-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -305 | NC      | $59132.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 95 CLO Ltd                                                             | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2499237.50   | 0.17%             | 2034-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $304500.00    | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $189530.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-283.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.466 09/15/24-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $62620.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2006-NLC1                                           | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      38290 | PA      | $10322.15     | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        879 | NC      | $3675062.28   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2014-1 Ltd                               | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     115234 | PA      | $115260.48    | 0.01%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                       | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37863 | PA      | $36176.96     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                  | Man GLG Euro CLO V DAC                                                        | CUSIP: 000000000<br>LEI: 635400WPMITSRLC5LX57 | Long             | ABS-CBDO         | CORP              | IE        |    1869623 | PA      | $2195223.58   | 0.15%             | 2031-12-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-254.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.7 04/15/23-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $464274.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-8                                                | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036056 | PA      | $1015661.36   | 0.07%             | 2036-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $2662.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $16852.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U8M6A8 PIMCO FPPSWAPTION 2.74 CALL EUR                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -5800000 | NC      | $-110070.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                              | Barings Euro CLO 2021-2 DAC                                                   | CUSIP: 000000000<br>LEI: 549300WLKHU1JJG5SG04 | Long             | ABS-CBDO         | CORP              | IE        |    3300000 | PA      | $3865103.21   | 0.26%             | 2034-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3502179 | PA      | $3898158.43   | 0.27%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                 | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232122 | PA      | $210008.69    | 0.01%             | 2046-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                        | Atlas Senior Loan Fund X Ltd                                                  | CUSIP: 04942JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      47745 | PA      | $47746.10     | 0.00%             | 2031-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.323 04/23/25-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6200000 | OU      | $27804.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Adagio CLO                                        | Adagio CLO VIII DAC                                                           | CUSIP: 000000000<br>LEI: 635400GXSZ7DMJYBSH11 | Long             | ABS-CBDO         | CORP              | IE        |    1905643 | PA      | $2238018.84   | 0.15%             | 2032-04-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2003-6                                  | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12247 | PA      | $11343.91     | 0.00%             | 2033-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       4904 | PA      | $719.57       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                                | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     282741 | PA      | $282824.30    | 0.02%             | 2030-10-23      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -14000000 | PA      | $-13986406.42 | -0.95%            | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                     | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8485 | PA      | $8691.83      | 0.00%             | 2034-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1782 | NC      | $-8167554.83  | -0.56%            |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    2351668 | PA      | $2696133.24   | 0.18%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       3219 | PA      | $472.30       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-93193.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-1                                        | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     765748 | PA      | $338650.17    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain EUR CLO 2016-1 DAC                                               | CUSIP: 000000000<br>LEI: 635400LB9H2C6ADADO52 | Long             | ABS-CBDO         | CORP              | IE        |      66357 | PA      | $78157.94     | 0.01%             | 2032-04-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust Series 2006-AR4                             | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239876 | PA      | $221336.33    | 0.02%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED BRL / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $631888.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED ILS / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IL        |          1 | NC      | $3350.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3336.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $2970.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE SEP25                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        125 | NC      | $-78934.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 33 CLO Ltd                                                            | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |     126038 | PA      | $126102.97    | 0.01%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-3                                        | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193823 | PA      | $184445.03    | 0.01%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2        | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1138362 | PA      | $1124667.04   | 0.08%             | 2034-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD THB                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5430.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $79923.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-38938.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                    | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47653 | PA      | $44764.98     | 0.00%             | 2045-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED NZD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NZ        |          1 | NC      | $483.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $-21422.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8524732 | PA      | $6748111.02   | 0.46%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QH8 Trust                                                    | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552593 | PA      | $443526.47    | 0.03%             | 2037-10-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust                                                                    | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263142 | PA      | $138746.26    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-OA7                                               | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |      99314 | PA      | $91265.31     | 0.01%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25021212 | PA      | $22823984.11  | 1.56%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |          1 | NC      | $9358.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15411186 | PA      | $15239906.08  | 1.04%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-21739.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     563490 | PA      | $68202.55     | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $24609.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD SEK                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2818.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak Clo 4                                                              | CUSIP: 72132WAN9<br>LEI: 2549002NRPBIF0UZPU88 | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4300064.50   | 0.29%             | 2034-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                      | Providus CLO IV DAC                                                           | CUSIP: 000000000<br>LEI: 635400JHNUBVSY8RBH70 | Long             | ABS-CBDO         | CORP              | IE        |    2900000 | PA      | $3400752.95   | 0.23%             | 2034-04-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.049 08/15/24-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9900000 | OU      | $-85586.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28142019 | PA      | $20536940.89  | 1.40%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-7N                                                | CUSIP: 525221EM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52508 | PA      | $48846.58     | 0.00%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461668 | PA      | $442434.83    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                             | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1266763 | PA      | $1266466.18   | 0.09%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $1213.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      60000 | OU      | $-2.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2021-4 Ltd                                         | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200494 | PA      | $200496.66    | 0.01%             | 2029-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $124673.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CNH                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-471855.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    7263638 | PA      | $875707.76    | 0.06%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-OPT2                                           | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251441 | PA      | $225709.28    | 0.02%             | 2037-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11761782 | PA      | $11510294.66  | 0.79%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                 | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133495 | PA      | $116098.85    | 0.01%             | 2047-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR4                       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10546 | PA      | $10382.99     | 0.00%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |          1 | NC      | $38.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-481.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Segovia European CLO 6 - 2019 DAC                 | Segovia European CLO 6-2019 DAC                                               | CUSIP: 000000000<br>LEI: 6354006IDDCPIYNLI456 | Long             | ABS-CBDO         | CORP              | IE        |     272195 | PA      | $320314.12    | 0.02%             | 2032-07-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PEN                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6280.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81532 | PA      | $84738.90     | 0.01%             | 2034-11-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $116285.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/91282CCM1 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   50000000 | OU      | $690715.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $2254.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     971994 | PA      | $985850.33    | 0.07%             | 2073-05-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2007-3                                                 | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134870 | PA      | $116695.10    | 0.01%             | 2036-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5AY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499951 | PA      | $455356.34    | 0.03%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.37 06/06/18-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-689577.92   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3572 | PA      | $3509.91      | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19000 11/04/22-30Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6700000 | OU      | $3934310.48   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5408.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9216 | PA      | $9055.26      | 0.00%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QO2 Trust                                                    | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36666 | PA      | $31128.92     | 0.00%             | 2045-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                              | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20364 | PA      | $19312.66     | 0.00%             | 2035-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21293982 | PA      | $22155211.35  | 1.51%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-HY11                                              | CUSIP: 021466AA5<br>LEI: 549300CA9X1CRUCWUL74 | Long             | ABS-MBS          | CORP              | US        |     900381 | PA      | $843539.67    | 0.06%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT SEP25                                                       | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        280 | NC      | $170661.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16891131 | PA      | $9193182.49   | 0.63%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.41875 03/05/21-5Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13000000 | OU      | $1552105.36   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-7                                         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     808011 | PA      | $322435.12    | 0.02%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-851.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.0425 02/21/25-1Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7600000 | OU      | $-6773.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD DKK                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-15483.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                 | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7371 | PA      | $6109.00      | 0.00%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $140980.73    | 0.01%             | 2027-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-HE1                                  | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3853 | PA      | $1293.24      | 0.00%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $34074.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-20N                                               | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1641501 | PA      | $1598750.59   | 0.11%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       9503 | PA      | $1110.07      | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-278.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                                         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1751 | PA      | $1763.03      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5890888 | PA      | $5818994.80   | 0.40%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | ARES L CLO Ltd                                                                | CUSIP: 04018LAJ4<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |     233805 | PA      | $233810.05    | 0.02%             | 2032-01-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/9128287D6 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   50000000 | OU      | $447033.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |   -8700000 | NC      | $-115196.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14207311 | PA      | $14589215.17  | 1.00%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $116127.32    | 0.01%             | 2027-06-24      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   18891865 | PA      | $22114665.86  | 1.51%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-13                                        | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67426 | PA      | $29380.64     | 0.00%             | 2036-02-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $3879.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-116352.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516557 | PA      | $481201.44    | 0.03%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $163793.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1510000 | OU      | $-30241.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC             | OAK Hill European Credit Partners VII DAC                                     | CUSIP: 000000000<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |    1031478 | PA      | $1214349.56   | 0.08%             | 2031-10-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35844917 | PA      | $38115214.21  | 2.60%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                  | CUSIP: 3137F4CZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1129127 | PA      | $1116971.76   | 0.08%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-281.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1391.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust Inc                                             | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3424522.05   | 0.23%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $3790.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1041019 | PA      | $1055966.96   | 0.07%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund Ltd                          | LCM Loan Income Fund I Ltd                                                    | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1483395 | PA      | $1483747.69   | 0.10%             | 2031-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                         | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17739 | PA      | $17066.26     | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15458 | PA      | $15445.47     | 0.00%             | 2035-07-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                    | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22100000 | PA      | $20089640.57  | 1.37%             | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP FR NI 1.41 11/15/19-20Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $-116167.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                                       | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164104 | PA      | $162890.81    | 0.01%             | 2034-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM IX Ltd                                                                   | CUSIP: 67109KBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280189 | PA      | $280488.35    | 0.02%             | 2031-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     551299 | PA      | $548786.13    | 0.04%             | 2031-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15207244 | PA      | $11298834.93  | 0.77%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-3R                                                           | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126081 | PA      | $124773.07    | 0.01%             | 2036-09-29      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO XVIII Ltd                                                       | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $599533.20    | 0.04%             | 2035-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                       | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1            | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445627 | PA      | $445612.55    | 0.03%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.29         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                    | DEUTSCHE BANK REPO                                                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |    3200000 | PA      | $3200000.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | 3MO EURO EURIBOR SEP25                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |      -1178 | NC      | $-578067.24   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Trust 2006-W4                                               | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     216769 | PA      | $51598.39     | 0.00%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51735194 | PA      | $39186237.86  | 2.67%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     698973 | PA      | $91837.52     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                             | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3345 | PA      | $3245.37      | 0.00%             | 2030-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36829 | PA      | $33103.93     | 0.00%             | 2035-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/2.86500 02/13/24-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25800000 | OU      | $4708979.88   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Capital Four US CLO                               | Capital Four US CLO II Ltd                                                    | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |     900000 | PA      | $902721.60    | 0.06%             | 2037-01-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                  | Marathon CLO XIII Ltd                                                         | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2086064 | PA      | $2086086.81   | 0.14%             | 2032-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                               | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415780 | PA      | $402374.34    | 0.03%             | 2035-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15708672 | PA      | $14824231.04  | 1.01%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2629.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC Cordatus Opportunity Loan Fund DAC            | CVC Cordatus Opportunity Loan Fund-R DAC                                      | CUSIP: 000000000<br>LEI: 635400C8SJP8XE4FXA57 | Long             | ABS-CBDO         | CORP              | IE        |    1864138 | PA      | $2178899.39   | 0.15%             | 2033-08-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                 | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268990 | PA      | $1160381.28   | 0.08%             | 2046-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO XI Ltd                                                            | CUSIP: 01750HAQ5<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3001992.00   | 0.20%             | 2033-01-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2021-FL7 Ltd                                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     278718 | PA      | $278446.43    | 0.02%             | 2036-10-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bosphorus CLO                                     | Bosphorus CLO VI DAC                                                          | CUSIP: 000000000<br>LEI: 6354003QOK8LLEWEMR90 | Long             | ABS-CBDO         | CORP              | IE        |    7400000 | PA      | $8663845.16   | 0.59%             | 2034-05-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28921226 | PA      | $28525872.08  | 1.95%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Tikehau                                           | Tikehau CLO IV DAC                                                            | CUSIP: 000000000<br>LEI: 5493003A9LSOVYP56X91 | Long             | ABS-CBDO         | CORP              | IE        |     489885 | PA      | $576772.39    | 0.04%             | 2031-10-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.703 05/25/21-5Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7090000 | OU      | $696931.61    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO                         | CIFC European Funding CLO III DAC                                             | CUSIP: 000000000<br>LEI: 5493000EF0244RPYUG32 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $942361.46    | 0.06%             | 2034-01-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) SEP25                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          2 | NC      | $5393.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-82558.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AMC1                                       | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601919 | PA      | $583328.52    | 0.04%             | 2036-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.7675 05/13/21-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11300000 | OU      | $1090757.25   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.50000 06/20/24-30Y CME                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9700000 | OU      | $716107.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $21907.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-5                                         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13518 | PA      | $11622.86     | 0.00%             | 2037-09-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1428 | PA      | $1410.23      | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint MTA Trust 2005-AR1                                                 | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57700 | PA      | $52586.23     | 0.00%             | 2045-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED SGD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $23551.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2046 | PA      | $2064.87      | 0.00%             | 2044-07-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD MXN                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3074.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-287870.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-9Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4750000 | OU      | $139637.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39946137 | PA      | $31010581.62  | 2.12%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SGD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $3827.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A1                                              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31638 | PA      | $30926.56     | 0.00%             | 2035-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO                         | Rockford Tower Europe CLO 2018-1 DAC                                          | CUSIP: 000000000<br>LEI: 635400J1BXSISHD5XN53 | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1767915.45   | 0.12%             | 2037-04-24      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-28853.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1381.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $3968.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED JPY / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $38716.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29490462 | PA      | $29091149.64  | 1.98%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                   | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     720129 | PA      | $845731.13    | 0.06%             | 2034-05-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1017 | NC      | $-1224765.97  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED IDR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |          1 | NC      | $-253.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.18         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.87880 06/12/23-9Y* LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21800000 | OU      | $747019.24    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5GK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000001 | PA      | $1821603.52   | 0.12%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2007-4R                                                           | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32706 | PA      | $29766.16     | 0.00%             | 2036-10-26      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.59 03/15/22-30Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $50514.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                                         | CUSIP: 41161PSV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114934 | PA      | $105890.24    | 0.01%             | 2035-06-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | VOYA CLO 2017-2                                                               | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      38007 | PA      | $38000.29     | 0.00%             | 2030-06-07      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE5                               | CUSIP: 61744CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     952115 | PA      | $911526.70    | 0.06%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED EUR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $7762.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  788000000 | OU      | $61051.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     114000 | PA      | $108366.68    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-313.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                 | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128778 | PA      | $112145.04    | 0.01%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5                              | CUSIP: 61744CRW8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-O            | CORP              | US        |    1232000 | PA      | $1141460.44   | 0.08%             | 2035-06-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DPJH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336637 | PA      | $322601.43    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                                   | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     485095 | PA      | $485245.96    | 0.03%             | 2031-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1490399 | PA      | $1490398.70   | 0.10%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                  | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    6677907 | PA      | $6677907.49   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED NOK / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |          1 | NC      | $543.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46197734 | PA      | $46233153.80  | 3.15%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-13625.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2005-H Trust                                         | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17572 | PA      | $15465.32     | 0.00%             | 2035-09-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1397.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Through Certificates     | TBW Mortgage-Backed Trust 2007-2                                              | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128444 | PA      | $46813.15     | 0.00%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    6377578 | PA      | $785383.36    | 0.05%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SEK                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-363.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $19707.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                          | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $404800.00    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-15698.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/91282CDX6 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   30000000 | OU      | $454735.95    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $114522.80    | 0.01%             | 2028-01-14      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.58 03/15/22-30Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $32553.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5ER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9999003 | PA      | $9107106.36   | 0.62%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF10                                  | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1197657 | PA      | $1168236.33   | 0.08%             | 2036-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R2                                       | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192351 | PA      | $177638.48    | 0.01%             | 2037-07-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                                       | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -33900000 | NC      | $-198784.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.682 10/15/23-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $160508.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AR4                                        | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1062252 | PA      | $899812.56    | 0.06%             | 2037-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $126705.45    | 0.01%             | 2029-11-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD MXN                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First NLC Trust                                   | First NLC Trust 2007-1                                                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719693 | PA      | $357174.75    | 0.02%             | 2037-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD SEK                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2978.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-12.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-334.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE1                       | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2945388 | PA      | $958374.67    | 0.07%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                          | CUSIP: 17307GTA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        355 | PA      | $359.76       | 0.00%             | 2035-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                    | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |     890676 | PA      | $890499.66    | 0.06%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-38684.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                        | CSAB Mortgage-Backed Trust 2006-2                                             | CUSIP: 12627HAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     360183 | PA      | $100068.57    | 0.01%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13560000 | OU      | $4569500.33   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2494.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE SEP25                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -518 | NC      | $569534.45    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48100000 | PA      | $48832293.64  | 3.33%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding               | Palmer Square European Loan Funding 2024-1 DAC                                | CUSIP: 000000000<br>LEI: 254900S9D49Z2X16W073 | Long             | ABS-CBDO         | CORP              | IE        |    1202329 | PA      | $1417289.50   | 0.10%             | 2033-08-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                      | St Paul's CLO X DAC                                                           | CUSIP: 000000000<br>LEI: 635400814HPIBD5YSW07 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $938285.75    | 0.06%             | 2035-04-22      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-113019.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22043 | PA      | $20441.50     | 0.00%             | 2035-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2019-GS2                                        | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300449 | PA      | $290443.52    | 0.02%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17998200 | PA      | $16392787.02  | 1.12%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-71.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                    | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -54500000 | PA      | $-49542326.30 | -3.38%            | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Man Euro CLO                                      | MAN Euro Clo 2023-1 DAC                                                       | CUSIP: 000000000<br>LEI: 6354003VGPHCJJKCVD96 | Long             | ABS-CBDO         | CORP              | IE        |    7100000 | PA      | $8382058.28   | 0.57%             | 2036-10-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-CH2                                 | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16226 | PA      | $16159.16     | 0.00%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED DKK / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | DK        |          1 | NC      | $15427.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2006-A10                               | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272810 | PA      | $82070.94     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40046046 | PA      | $29002363.39  | 1.98%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140X6P47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369619 | PA      | $350015.34    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                   | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     132975 | PA      | $134216.61    | 0.01%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.033 09/23/24-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8100000 | OU      | $-57532.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.9975 07/25/19-10Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21500000 | OU      | $-3171333.63  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140JRZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126706 | PA      | $118832.91    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                 | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46372 | PA      | $42302.16     | 0.00%             | 2046-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                  | IndyMac INDA Mortgage Loan Trust 2005-AR1                                     | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14227 | PA      | $14763.89     | 0.00%             | 2035-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1935453 | PA      | $1943161.96   | 0.13%             | 2068-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1127.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                                    | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297397.39    | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41351 | PA      | $42345.40     | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                              | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        900 | NS      | $1056717.00   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 60 CLO Ltd                                                             | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |     397514 | PA      | $397750.84    | 0.03%             | 2031-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $69305.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund XXI DAC                                                | CUSIP: 000000000<br>LEI: 549300830IXOSQG2RQ34 | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1997900.30   | 0.14%             | 2034-09-22      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1232.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae Trust 2003-W8                                                      | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14217 | PA      | $14169.53     | 0.00%             | 2042-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1731433 | PA      | $1759679.68   | 0.12%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                    | LoanCore 2022-CRE7 Issuer Ltd                                                 | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1718836 | PA      | $1717856.26   | 0.12%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-HY3                                            | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     454358 | PA      | $457704.27    | 0.03%             | 2059-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46982519 | PA      | $43528625.71  | 2.97%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-11CB                                              | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312099 | PA      | $250775.52    | 0.02%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                            | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1003136 | PA      | $989240.12    | 0.07%             | 2042-09-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1750070240 | PA      | $12570110.25  | 0.86%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        834 | PA      | $122.45       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-3119.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR3                                              | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101140 | PA      | $75293.35     | 0.01%             | 2035-05-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Inc Asset-backed Certificates Series 2007-12                            | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |      16853 | PA      | $16458.06     | 0.00%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-OPT1                                           | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1683750 | PA      | $1140562.48   | 0.08%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                                          | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1173846.67   | 0.08%             | 2034-11-20      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-252.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6630218 | PA      | $6617741.59   | 0.45%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1541.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR5                       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13272 | PA      | $12700.90     | 0.00%             | 2034-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                            | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694274 | PA      | $681602.88    | 0.05%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1731780 | PA      | $214118.91    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.573 08/26/21-7Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $150308.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-249.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/912828Y38 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   40000000 | OU      | $227354.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-36943.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                          | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |     805942 | PA      | $947015.17    | 0.06%             | 2031-11-15      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     497943 | PA      | $54680.66     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                 | Wachovia Mortgage Loan Trust Series 2006-ALT1                                 | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1403262 | PA      | $497136.43    | 0.03%             | 2037-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/912828V49 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $3572.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.25000 12/20/23-2Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   57690000 | OU      | $3905.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2541154560 | PA      | $18328091.16  | 1.25%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.89500 10/08/25-2Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22800000 | OU      | $57630.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED NOK / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NO        |          1 | NC      | $-290.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tralee CDO Ltd                                    | Tralee CLO VII Ltd                                                            | CUSIP: 89288CAA7<br>LEI: 254900EH90TKUEDWUZ75 | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1400722.40   | 0.10%             | 2034-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -20500000 | NC      | $-180577.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163183 | PA      | $152493.11    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1578672.59  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.76 11/04/19-10Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24500000 | OU      | $-4266476.55  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                                          | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     352036 | PA      | $352014.64    | 0.02%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69421535 | PA      | $70306559.01  | 4.80%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-3 Ltd                                            | CUSIP: 05683NAJ1<br>LEI: 254900XV68IP5ZAT0548 | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3204521.60   | 0.22%             | 2034-07-24      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39702298 | PA      | $33324813.12  | 2.27%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $3675.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66975760 | PA      | $65038997.84  | 4.44%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corporation            | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-2 | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1318030 | PA      | $1323662.59   | 0.09%             | 2035-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED GBP / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $37827.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                              | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611807 | PA      | $560138.51    | 0.04%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69325 | PA      | $69514.70     | 0.00%             | 2066-08-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-408.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                           | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      56129 | PA      | $36768.99     | 0.00%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                          | Regatta XVI Funding Ltd                                                       | CUSIP: 75888TAL9<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |     292073 | PA      | $292350.00    | 0.02%             | 2033-01-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.7975 08/25/20-7Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9300000 | OU      | $1619952.68   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $6375.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP FR NI 1.91 01/15/18-20Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     350000 | OU      | $-20905.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust     | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                          | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        493 | PA      | $157.12       | 0.00%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                  | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39637 | PA      | $39654.60     | 0.00%             | 2034-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| M360 Ltd.                                         | M360 2021-CRE3 Ltd                                                            | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      51303 | PA      | $50397.58     | 0.00%             | 2038-11-22      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U8M5A9 PIMCO FPPSWAPTION 2.74 PUT EUR                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -5800000 | NC      | $-40666.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD AUD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5785.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+17/912828Z37 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   35000000 | OU      | $359926.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12837450 | PA      | $12598524.21  | 0.86%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54800000 | PA      | $52394772.10  | 3.57%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16660378 | PA      | $16401253.59  | 1.12%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -299 | NC      | $-535551.56   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10242470 | PA      | $9366774.15   | 0.64%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-29CB                                              | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106817 | PA      | $58456.89     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3350.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.25000 09/17/25-30Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   35270000 | OU      | $4364033.70   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                            | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042396 | PA      | $1013418.21   | 0.07%             | 2047-01-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29698152 | PA      | $29357297.99  | 2.00%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-22720.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                                      | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     368987 | PA      | $505761.93    | 0.03%             | 2045-06-13      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                              | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8296 | PA      | $8292.43      | 0.00%             | 2031-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD DKK                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-115680.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-243.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29367000 | OU      | $-449024.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $51972.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     931167 | PA      | $1096065.87   | 0.07%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED KRW / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | KR        |          1 | NC      | $542.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                          | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1596952.19   | 0.11%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16168 | PA      | $15744.03     | 0.00%             | 2034-02-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-534.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | Wind River 2014-1 CLO Ltd                                                     | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | KY        |      21809 | PA      | $21803.93     | 0.00%             | 2031-07-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                   | Contego CLO IV DAC                                                            | CUSIP: 000000000<br>LEI: 635400H7QVHLSOZWVU92 | Long             | ABS-CBDO         | CORP              | IE        |     795316 | PA      | $931124.05    | 0.06%             | 2030-01-23      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24500 | PA      | $21403.47     | 0.00%             | 2046-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.645 09/10/21-7Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2400000 | OU      | $170091.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                      | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     706988 | PA      | $706984.21    | 0.05%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6587.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2005-WMC1                                                         | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      63187 | PA      | $62442.52     | 0.00%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE SEP25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -400 | NC      | $454750.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Asset Securities Corporation          | RASC Series 2006-EMX4 Trust                                                   | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2471313 | PA      | $2430733.41   | 0.17%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7872246 | PA      | $7882847.47   | 0.54%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.763 09/15/23-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     800000 | OU      | $138686.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 44 Euro CLO 2015 DAC                                                   | CUSIP: 000000000<br>LEI: 635400YO6CJ2YJRXF230 | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1526423.32   | 0.10%             | 2034-04-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $132688.48    | 0.01%             | 2029-03-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd                                 | Cedar Funding V CLO Ltd                                                       | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |     453749 | PA      | $453988.06    | 0.03%             | 2031-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Silver Rock CLO Ltd                               | Silver Rock CLO II Ltd                                                        | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1098900.00   | 0.07%             | 2035-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1195.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5H93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4353630 | PA      | $3965292.19   | 0.27%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                 | Elevation CLO 2022-16 Ltd                                                     | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $697032.70    | 0.05%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7148938 | PA      | $7179985.15   | 0.49%             | 2055-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED KRW / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |          1 | NC      | $249.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39657528 | PA      | $43294498.87  | 2.95%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                         | Madison Park Euro Funding IX DAC                                              | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $820449.22    | 0.06%             | 2035-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2003-OP1                    | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     757351 | PA      | $776523.52    | 0.05%             | 2033-12-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44065720 | PA      | $40963917.66  | 2.79%             | 2054-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-2751.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-41347.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  168540031 | PA      | $157201478.50 | 10.72%            | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.3 06/04/2025-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7300000 | OU      | $20919.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-8                                  | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3803673 | PA      | $3612215.51   | 0.25%             | 2037-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-8                                               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34588 | PA      | $32562.20     | 0.00%             | 2034-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXII Ltd                                                     | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     222356 | PA      | $222485.62    | 0.02%             | 2031-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-7                                               | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370417 | PA      | $211844.77    | 0.01%             | 2035-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $1379.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52970 | PA      | $46856.16     | 0.00%             | 2035-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                               | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37347 | PA      | $39664.37     | 0.00%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.0 05/15/22-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2000000 | OU      | $36039.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                         | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24811 | PA      | $24591.95     | 0.00%             | 2036-04-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      50418 | PA      | $6532.13      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                                          | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    8930592 | PA      | $6896050.01   | 0.47%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-3                                           | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     354151 | PA      | $340467.03    | 0.02%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL3                                 | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2828496 | PA      | $2713230.92   | 0.19%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.421 05/15/22-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     650000 | OU      | $-3593.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     283310 | PA      | $35006.78     | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2728634.62  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.83000 09/17/25-2Y LCH                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18700000 | OU      | $72457.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1020340 | PA      | $976453.73    | 0.07%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-OA19                                              | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346315 | PA      | $277506.08    | 0.02%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2369547 | PA      | $2377207.00   | 0.16%             | 2072-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.736 10/15/23-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $263771.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-3983.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                  | CUSIP: 00442JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433580 | PA      | $173795.17    | 0.01%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2005-FRE1                                 | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82834 | PA      | $79019.37     | 0.01%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1190267.19  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7637124 | PA      | $6921602.85   | 0.47%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.70 01/14/25-1Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12700000 | OU      | $-53283.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5904 | PA      | $5964.88      | 0.00%             | 2044-09-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIED                          | Credicorp Capital Sociedad Titulizadora SA                                    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     900000 | PA      | $262744.11    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.10000 09/02/25-27Y* LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28580000 | OU      | $-801666.14   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                                  | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     301280 | PA      | $301338.42    | 0.02%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19337172 | PA      | $19084688.76  | 1.30%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34464170 | PA      | $34887150.14  | 2.38%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-195179.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 3618N5KS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1646372 | PA      | $1499518.16   | 0.10%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-547.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.034 09/15/24-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6700000 | OU      | $-44740.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                            | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |     580442 | PA      | $580773.26    | 0.04%             | 2031-08-13      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 6 Ltd                                                   | CUSIP: 03328QBL4<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $701080.10    | 0.05%             | 2034-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Trust                  | Ellington Loan Acquisition Trust 2007-1                                       | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     748378 | PA      | $732531.04    | 0.05%             | 2037-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) SEP25                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1615 | NC      | $-1321919.86  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3100.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL9 LLC                                                              | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1698544 | PA      | $1700785.68   | 0.12%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $20812.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                              | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186202 | PA      | $179904.87    | 0.01%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70766 | PA      | $69487.24     | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                       | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11791 | PA      | $8202.39      | 0.00%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66735029 | PA      | $62686828.56  | 4.28%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.636 06/15/25-2Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18000000 | OU      | $38560.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -5400000 | NC      | $-33850.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-4CB                                               | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435357 | PA      | $365036.35    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40916 | PA      | $38722.84     | 0.00%             | 2035-08-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| MEXICAN UDIBONOS                                  | Mexican Udibonos                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3391838 | PA      | $167853.91    | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98869 | PA      | $94750.37     | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CAD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |          1 | NC      | $364.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19183 | PA      | $18959.43     | 0.00%             | 2037-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.89 08/27/20-7Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12300000 | OU      | $2056172.67   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $19288.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11019782 | PA      | $10789030.63  | 0.74%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.25000 09/17/25-10Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  157240000 | OU      | $-6080359.58  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-34124.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-544.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 11 Ltd                                                                | CUSIP: 48250MAK3<br>LEI: 549300PJRIGYUE3V5M12 | Long             | ABS-CBDO         | CORP              | KY        |     142997 | PA      | $143085.84    | 0.01%             | 2031-01-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE2                       | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     262781 | PA      | $102448.48    | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $19690.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53445906 | PA      | $52983267.79  | 3.61%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $291.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   59700000 | OU      | $-490076.95   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.208 10/07/24-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16538000 | OU      | $-100301.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2005-E Trust                                         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18358 | PA      | $16826.92     | 0.00%             | 2035-06-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XII-B Ltd                                                  | CUSIP: 66858CAN7<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |     468472 | PA      | $467931.12    | 0.03%             | 2031-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                        | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $15251.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1420000000 | OU      | $82519.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer