# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001410368-26-020716
**Filing Date:** 2026-2
**Character Count:** 239418
**Document Hash:** e14e52afcab3e7910b46e437d4a0dc30
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020716.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020716

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**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:** 26698877

**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:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3598459807.80

**Total Liabilities:** $2163184572.52

**Net Assets:** $1435275235.28

**Delayed Delivery Securities:** $2069063123.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -636.48000000 | **1-Year:** -7701.20000000 | **5-Year:** -3607.23000000 | **10-Year:** -6713.56000000 | **30-Year:** -6543.41000000

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

- **3-Month:** -353.62000000 | **1-Year:** -3964.81000000 | **5-Year:** -10620.88000000 | **10-Year:** -19926.68000000 | **30-Year:** -20632.28000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030630 | 0.49%                | 0.29%                | -0.58%               |
| Class ID C000030631 | 0.49%                | 0.20%                | -0.59%               |
| Class ID C000030633 | 0.49%                | 0.29%                | -0.58%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1773537.25              | $-3192664.58                               |
| Month 2  | $-2174677.71             | $122927.94                                 |
| Month 3  | $-11682042.99            | $-2383919.95                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2003-OP1                    | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714977 | PA      | $728731.64    | 0.05%             | 2033-12-25      | Floating      | 4.90%                 | 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        |     419114 | PA      | $170730.60    | 0.01%             | 2037-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                         | ACRES 2025-FL3 LLC                                                            | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $501206.50    | 0.03%             | 2040-08-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40100000 | PA      | $39143301.02  | 2.73%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   58800000 | PA      | $57351222.10  | 4.00%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48100000 | PA      | $49357407.59  | 3.44%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                         | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $24946461.36  | 1.74%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-HY11                                              | CUSIP: 021466AA5<br>LEI: 549300CA9X1CRUCWUL74 | Long             | ABS-MBS          | CORP              | US        |     819000 | PA      | $789628.00    | 0.06%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-4CB                                               | CUSIP: 02148FBX2<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     413161 | PA      | $344081.59    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    1050255 | PA      | $1050254.72   | 0.07%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Trust 2006-W4                                               | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     214212 | PA      | $50831.11     | 0.00%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | ARES XLIV CLO Ltd                                                             | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $699553.40    | 0.05%             | 2034-04-15      | Floating      | 5.04%                 | 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        |     999271 | PA      | $1074694.90   | 0.07%             | 2034-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      51000 | PA      | $49442.97     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                             | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     938183 | PA      | $938150.34    | 0.07%             | 2039-03-19      | Floating      | 5.53%                 | 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      | $3193392.00   | 0.22%             | 2034-07-24      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                          | CUSIP: 058927AA2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |      81772 | PA      | $78060.18     | 0.01%             | 2036-02-20      | Variable      | 5.80%                 | 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        |      16636 | PA      | $15232.66     | 0.00%             | 2035-06-25      | Variable      | 5.32%                 | 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        |      16691 | PA      | $14890.80     | 0.00%             | 2035-09-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                          | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1596850.14   | 0.11%             | 2028-03-15      | Fixed         | 5.88%                 | 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        |     354909 | PA      | $188644.75    | 0.01%             | 2035-09-25      | Variable      | 4.79%                 | 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        |      81856 | PA      | $75137.57     | 0.01%             | 2035-03-25      | Variable      | 4.78%                 | 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        |      32357 | PA      | $30753.80     | 0.00%             | 2034-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                                          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7818063.89   | 0.54%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO XXII Ltd                                                     | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     123655 | PA      | $123689.00    | 0.01%             | 2031-07-15      | Floating      | 5.25%                 | 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        |      54193 | PA      | $36282.94     | 0.00%             | 2037-07-25      | Floating      | 4.23%                 | 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        |    1080067 | PA      | $723018.21    | 0.05%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                                      | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |     389077 | PA      | $389137.30    | 0.03%             | 2030-10-24      | Floating      | 5.08%                 | 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        |    2806789 | PA      | $2849863.96   | 0.20%             | 2037-10-25      | Floating      | 5.35%                 | 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        |     356388 | PA      | $96404.63     | 0.01%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2007-4R                                                           | CUSIP: 12639QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      31522 | PA      | $28605.65     | 0.00%             | 2036-10-26      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2015-12R                                                          | CUSIP: 12651DAG3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    1815315 | PA      | $1674183.65   | 0.12%             | 2037-11-30      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-11CB                                              | CUSIP: 12667GJJ3<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     300677 | PA      | $240202.69    | 0.02%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-29CB                                              | CUSIP: 12667GUG6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     104243 | PA      | $55239.44     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-OA7                                               | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |      91754 | PA      | $85280.05     | 0.01%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-61                                                | CUSIP: 12668AVP7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      12690 | PA      | $12074.36     | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-OA19                                              | CUSIP: 12668RAA6<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     330302 | PA      | $270660.42    | 0.02%             | 2047-02-20      | Floating      | 4.03%                 | 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        |      15322 | PA      | $15152.87     | 0.00%             | 2047-08-25      | Floating      | 4.59%                 | 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        |      14417 | PA      | $14012.02     | 0.00%             | 2035-06-25      | Floating      | 4.19%                 | 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        |     183979 | PA      | $177513.45    | 0.01%             | 2035-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-8                                  | CUSIP: 12669WAA4<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    3553919 | PA      | $3423055.64   | 0.24%             | 2037-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                                          | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    9033552 | PA      | $6794234.14   | 0.47%             | 2026-12-01      | Fixed         | 4.25%                 | 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      | $900288.90    | 0.06%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                 | Cedar Funding V CLO Ltd                                                       | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |     362192 | PA      | $362175.63    | 0.03%             | 2031-07-17      | Floating      | 5.24%                 | 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        |      12698 | PA      | $12359.50     | 0.00%             | 2037-02-25      | Variable      | 6.01%                 | 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        |     765884 | PA      | $329386.69    | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | 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      | $3493883.73   | 0.24%             | 2035-10-25      | Floating      | 4.54%                 | 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        |        341 | PA      | $344.78       | 0.00%             | 2035-08-25      | Variable      | 6.12%                 | 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        |        708 | PA      | $718.15       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | 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        |     510687 | PA      | $500360.19    | 0.03%             | 2036-09-25      | Floating      | 4.14%                 | 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        |    1035518 | PA      | $896243.17    | 0.06%             | 2037-03-25      | Variable      | 4.61%                 | 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        |     690672 | PA      | $611215.18    | 0.04%             | 2037-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                    | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21900000 | PA      | $19925564.55  | 1.39%             | 2056-02-20      | Fixed         | 3.50%                 | 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      | $281827.38    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-1T1                                               | CUSIP: 23246KAA9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    3025479 | PA      | $1001264.39   | 0.07%             | 2037-03-25      | Fixed         | 6.00%                 | 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: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |       7086 | PA      | $5923.51      | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | 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: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |     123777 | PA      | $108145.17    | 0.01%             | 2036-10-25      | Variable      | 6.37%                 | 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: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |     123777 | PA      | $108143.60    | 0.01%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $35390.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $24800.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $50603.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $22749.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $3503.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $46453.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $28199.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $70479.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $4074.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $41295.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $7360.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $56173.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $26481.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $50045.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $36842.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $11016.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $34270.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $6987.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | PL        |          1 | NC      | $42852.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $10062.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $5791.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $47183.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $9511.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $5785.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TRY / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TR        |          1 | NC      | $315001.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $1575.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | MX        |          1 | NC      | $170851.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-831.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-16447.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-10223.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-6295.37     | -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      | $-16215.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-21181.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-23892.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-21284.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-15383.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-16125.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-5877.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-26395.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-17756.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2654.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ILS / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IL        |          1 | NC      | $764.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-27199.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-736.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $7893.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1555.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED THB / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $10.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD THB                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-7809.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $34013.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-99.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-15063.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-16023.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-21511.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-31560.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED GBP / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |          1 | NC      | $233412.13    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $45445.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | MX        |          1 | NC      | $4.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ZA        |          1 | NC      | $6542.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $15621.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |          1 | NC      | $6173.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-110565.97   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CHF / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CH        |          1 | NC      | $1165.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD DKK                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-49305.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $161.42       | 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      | $3244.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-481245.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $11822.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $11550.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-739567.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $20009.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD AUD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-166865.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-25478.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-13189.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-21005.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ZA        |          1 | NC      | $2663.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD SGD                                                      | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-147825.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-533.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5328.48     | -0.00%            |  |  |  | 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      | $-3176.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-11948.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-19929.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4879.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NOK                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3829.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SGD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $116.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-122824.99   | -0.01%            |  |  |  | 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      | $69787.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-5099.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |          1 | NC      | $36509.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $-17756.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |          1 | NC      | $4022.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $1.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $3023.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $413.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-223.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD EUR                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-128096.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $18593.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3646.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $5368.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $22166.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-16867.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $4054.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $12169.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CN        |          1 | NC      | $15446.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $1084.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CNH                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-31994.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2992.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $6019.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-868.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $11203.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-1307.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $-6241.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED KRW / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $23556.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $4441.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $15551.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $11473.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-45427.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $7408.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-5988.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $634.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $3169.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED KRW / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $39356.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6717.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-41735.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-3457.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $1428.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $2811.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $-6790.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CNH                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-19042.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $2430.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-588.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-297.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TW        |          1 | NC      | $1025.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $4696.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $10610.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD INR                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-536.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $6452.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-13555.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $7420.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $2824.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1327.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $8012.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2693.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED DKK / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | DK        |          1 | NC      | $1688.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $6748.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3679.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ZA        |          1 | NC      | $7565.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1990.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-603.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $5885.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-188.00      | -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      | $-5320.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2379.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ZAR                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4936.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |          1 | NC      | $4920.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ILS / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IL        |          1 | NC      | $2091.01      | 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      | $-1901.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-3565.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $-572.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $569.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $2034.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $970.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $-16.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $5.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $367.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-276.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $385.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-64.98       | -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      | $39.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $965.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD ILS                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1870.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED PLN / SOLD USD                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PL        |          1 | NC      | $172.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ZAR / SOLD USD                                                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |          1 | NC      | $2945.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD GBP                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2462.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CHF                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1636.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED AUD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |          1 | NC      | $-5463.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $5254.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $-362.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CNH / SOLD USD                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $1402.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                    | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |     327642 | PA      | $327545.21    | 0.02%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 86 CLO Ltd                                                             | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1501836.00   | 0.10%             | 2034-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 95 CLO Ltd                                                             | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2498217.50   | 0.17%             | 2034-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                             | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     236868 | PA      | $236956.96    | 0.02%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 60 CLO Ltd                                                             | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |     211385 | PA      | $211398.87    | 0.01%             | 2031-07-15      | Floating      | 5.22%                 | 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      | $700113.40    | 0.05%             | 2034-07-25      | Floating      | 4.99%                 | 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        |     676210 | PA      | $664173.51    | 0.05%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DPJH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322022 | PA      | $315683.25    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93998 | PA      | $92196.59     | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7726014 | PA      | $7560357.27   | 0.53%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                              | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     980148 | PA      | $958082.41    | 0.07%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                            | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925226 | PA      | $913670.24    | 0.06%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                     | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8077 | PA      | $8294.23      | 0.00%             | 2034-01-01      | Floating      | 5.99%                 | No            |                  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        |       7072 | PA      | $7055.67      | 0.00%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6731864 | PA      | $6777182.61   | 0.47%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 3136BWYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953753 | PA      | $957179.75    | 0.07%             | 2055-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                            | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     983252 | PA      | $963159.60    | 0.07%             | 2047-01-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                            | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     627884 | PA      | $615538.57    | 0.04%             | 2044-07-15      | Floating      | 4.67%                 | 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      | $1126097.59   | 0.08%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                            | CUSIP: 3137HMGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1229021 | PA      | $1233885.35   | 0.09%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae Trust 2003-W8                                                      | CUSIP: 31393CX40<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      13029 | PA      | $12985.27     | 0.00%             | 2042-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3337 | PA      | $3279.25      | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34535 | PA      | $35378.62     | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | 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        |     562148 | PA      | $518493.49    | 0.04%             | 2044-10-25      | Floating      | 5.23%                 | 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        |     171945 | PA      | $167628.37    | 0.01%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8723 | PA      | $8568.74      | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60785 | PA      | $59666.30     | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396WLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16530 | PA      | $16373.92     | 0.00%             | 2037-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                             | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1237 | PA      | $1224.26      | 0.00%             | 2037-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1903 | PA      | $1911.39      | 0.00%             | 2044-07-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5450 | PA      | $5505.69      | 0.00%             | 2044-09-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70880 | PA      | $74242.01     | 0.01%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140JRZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125224 | PA      | $119947.05    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140X6P47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355670 | PA      | $342435.45    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154140 | PA      | $147170.02    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212864 | PA      | $204450.13    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EBV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472452 | PA      | $450846.33    | 0.03%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320385 | PA      | $283942.30    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                               | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     439111 | PA      | $430421.88    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | 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        |    1096416 | PA      | $1070213.36   | 0.07%             | 2036-07-25      | Floating      | 4.16%                 | 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        |    7021607 | PA      | $6406644.18   | 0.45%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                  | CUSIP: 32051D3G5<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |      37070 | PA      | $37001.89     | 0.00%             | 2034-06-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                                   | First NLC Trust 2007-1                                                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707774 | PA      | $356109.43    | 0.02%             | 2037-08-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                                   | CUSIP: 33835NAA9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |     196835 | PA      | $196873.38    | 0.01%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                            | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23724342 | PA      | $21851796.79  | 1.52%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust                                                                    | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253786 | PA      | $130832.81    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2005-WMC1                                                         | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      55019 | PA      | $54655.15     | 0.00%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  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        |      29030 | PA      | $27797.53     | 0.00%             | 2035-09-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR7                                              | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86664 | PA      | $73215.64     | 0.01%             | 2035-11-25      | Variable      | 4.47%                 | 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        |      97693 | PA      | $72018.96     | 0.01%             | 2035-05-25      | Variable      | 4.24%                 | 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        |     114620 | PA      | $107460.84    | 0.01%             | 2034-12-25      | Variable      | 5.22%                 | 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        |      19575 | PA      | $18656.38     | 0.00%             | 2035-01-25      | Variable      | 6.45%                 | 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        |     224755 | PA      | $224885.00    | 0.02%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     760954 | PA      | $769979.18    | 0.05%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47658 | PA      | $47858.70     | 0.00%             | 2066-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1885149 | PA      | $1896725.59   | 0.13%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38381PC92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9223810 | PA      | $9306576.87   | 0.65%             | 2055-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     953921 | PA      | $971179.21    | 0.07%             | 2073-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2330128 | PA      | $2342070.06   | 0.16%             | 2072-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                      | CUSIP: 38384LA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14863294 | PA      | $14911394.89  | 1.04%             | 2075-10-20      | Floating      | 4.70%                 | 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        |      56051 | PA      | $50522.91     | 0.00%             | 2045-06-25      | Floating      | 4.29%                 | 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        |      47038 | PA      | $45285.75     | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | 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        |     223095 | PA      | $210281.05    | 0.01%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-2                                         | CUSIP: 41161PLR2<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      21134 | PA      | $20599.52     | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                                         | CUSIP: 41161PSV6<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     109344 | PA      | $102769.54    | 0.01%             | 2035-06-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-13                                        | CUSIP: 41161PWB5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      65293 | PA      | $26906.46     | 0.00%             | 2036-02-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-5                                         | CUSIP: 41165AAB8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      13002 | PA      | $11436.28     | 0.00%             | 2037-09-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                                       | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153256 | PA      | $152610.38    | 0.01%             | 2034-08-25      | Floating      | 4.70%                 | 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        |     901496 | PA      | $890287.73    | 0.06%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  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        |       3776 | PA      | $1329.06      | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | 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        |      13922 | PA      | $16335.72     | 0.00%             | 2035-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A1                                              | CUSIP: 466247LZ4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      30346 | PA      | $29565.28     | 0.00%             | 2035-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247TQ6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      37912 | PA      | $36110.32     | 0.00%             | 2035-08-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247TZ6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       7234 | PA      | $6824.84      | 0.00%             | 2035-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                              | CUSIP: 466247UG6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      51926 | PA      | $46025.06     | 0.00%             | 2035-08-25      | Variable      | 5.10%                 | 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        |      11548 | PA      | $11531.72     | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                              | CUSIP: 46630GAA3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |       6910 | PA      | $6899.29      | 0.00%             | 2035-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                              | CUSIP: 46630GAJ4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      25582 | PA      | $24545.95     | 0.00%             | 2035-07-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R2                                       | CUSIP: 46632TAA3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     179365 | PA      | $167009.04    | 0.01%             | 2037-07-27      | Variable      | 4.05%                 | 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      | $549861.33    | 0.04%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | J P MORGAN TERM REPO                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   26700000 | PA      | $26700000.00  | 1.86%             |  |  |  | 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      | $599094.00    | 0.04%             | 2035-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 11 Ltd                                                                | CUSIP: 48250MAK3<br>LEI: 549300PJRIGYUE3V5M12 | Long             | ABS-CBDO         | CORP              | KY        |      80004 | PA      | $80029.11     | 0.01%             | 2031-01-15      | Floating      | 5.35%                 | 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        |     439783 | PA      | $439801.89    | 0.03%             | 2031-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-7N                                                | CUSIP: 525221EM5<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |      48848 | PA      | $46478.11     | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-20N                                               | CUSIP: 52525AAA2<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |    1544661 | PA      | $1564431.03   | 0.11%             | 2037-12-25      | Floating      | 6.15%                 | 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        |     607088 | PA      | $607135.49    | 0.04%             | 2037-01-17      | Floating      | 5.49%                 | 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        |     793645 | PA      | $313574.37    | 0.02%             | 2036-08-25      | Floating      | 4.09%                 | 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        |     172015 | PA      | $171961.29    | 0.01%             | 2036-10-16      | Floating      | 4.93%                 | 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        |    1489205 | PA      | $1489903.16   | 0.10%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  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      | $299178.00    | 0.02%             | 2034-10-22      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                  | Marble Point CLO XXII Ltd                                                     | CUSIP: 56606GAJ3<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1600880.00   | 0.11%             | 2034-07-25      | Floating      | 5.08%                 | 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        |      11355 | PA      | $10568.55     | 0.00%             | 2033-12-25      | Variable      | 5.09%                 | 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        |      21663 | PA      | $21509.11     | 0.00%             | 2034-11-21      | Variable      | 5.63%                 | 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        |      80035 | PA      | $79298.43     | 0.01%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  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        |       2935 | PA      | $2875.23      | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | 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        |      19155 | PA      | $18624.60     | 0.00%             | 2031-11-15      | Floating      | 4.57%                 | 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        |     247465 | PA      | $241497.22    | 0.02%             | 2059-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                               | CUSIP: 61744CFR2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |      35336 | PA      | $38037.95     | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                               | CUSIP: 61744CNC6<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |     365409 | PA      | $359257.50    | 0.03%             | 2035-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5                              | CUSIP: 61744CRW8<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |    1232000 | PA      | $1161082.63   | 0.08%             | 2035-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE5                               | CUSIP: 61744CUU8<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |     852362 | PA      | $825337.29    | 0.06%             | 2035-09-25      | Floating      | 4.52%                 | 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        |        485 | PA      | $158.18       | 0.00%             | 2036-11-25      | Floating      | 3.90%                 | 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        |     258591 | PA      | $254591.85    | 0.02%             | 2035-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL3                                 | CUSIP: 64830NAA9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    2466910 | PA      | $2391524.27   | 0.17%             | 2059-07-25      | Variable      | 2.75%                 | 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        |     194203 | PA      | $194071.99    | 0.01%             | 2036-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XII-B Ltd                                                  | CUSIP: 66858CAN7<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |     316567 | PA      | $316204.76    | 0.02%             | 2031-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                                 | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      98048 | PA      | $98047.92     | 0.01%             | 2032-07-20      | Floating      | 5.31%                 | 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        |      80527 | PA      | $80505.44     | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | 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        |     979099 | PA      | $978019.38    | 0.07%             | 2035-04-25      | Floating      | 4.90%                 | 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        |     907269 | PA      | $900467.92    | 0.06%             | 2034-10-25      | Floating      | 4.90%                 | 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        |      39902 | PA      | $39348.55     | 0.00%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak Clo 4                                                              | CUSIP: 72132WAN9<br>LEI: 2549002NRPBIF0UZPU88 | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4304244.10   | 0.30%             | 2034-07-15      | Floating      | 5.12%                 | 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        |     520385 | PA      | $413161.38    | 0.03%             | 2037-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation          | RASC Series 2006-EMX4 Trust                                                   | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2344260 | PA      | $2326067.73   | 0.16%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                          | Regatta XVI Funding Ltd                                                       | CUSIP: 75888TAL9<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |     259492 | PA      | $259903.31    | 0.02%             | 2033-01-15      | Floating      | 5.11%                 | 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        |      38750 | PA      | $26680.92     | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | 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        |      33100 | PA      | $28722.51     | 0.00%             | 2045-09-25      | Floating      | 5.39%                 | 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        |     270208 | PA      | $76965.21     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                                | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      36595 | PA      | $36597.92     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | 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        |    1449216 | PA      | $1438838.21   | 0.10%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                            | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |     188388 | PA      | $188458.24    | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | 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        |     315847 | PA      | $306749.39    | 0.02%             | 2037-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE1                       | CUSIP: 81376YAD3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    2906679 | PA      | $940806.89    | 0.07%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2006-HE2                       | CUSIP: 81377AAD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |     257944 | PA      | $97620.68     | 0.01%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                                      | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6333 | PA      | $6278.93      | 0.00%             | 2026-10-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2007-3                                                 | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122626 | PA      | $106183.41    | 0.01%             | 2036-07-20      | Floating      | 4.25%                 | 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      | $1098738.30   | 0.08%             | 2035-01-20      | Floating      | 4.92%                 | 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        |      99317 | PA      | $100157.55    | 0.01%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                                        | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |     839509 | PA      | $839745.36    | 0.06%             | 2032-07-20      | Floating      | 5.36%                 | 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        |      37705 | PA      | $10038.99     | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | 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        |    1640980 | PA      | $1135743.43   | 0.08%             | 2037-06-25      | Floating      | 4.05%                 | 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        |     242874 | PA      | $223369.71    | 0.02%             | 2037-07-25      | Floating      | 4.03%                 | 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        |      34909 | PA      | $32419.75     | 0.00%             | 2035-01-25      | Floating      | 5.43%                 | 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        |      15348 | PA      | $14831.85     | 0.00%             | 2034-02-25      | Variable      | 6.30%                 | 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        |      11902 | PA      | $11527.87     | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | 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        |      36085 | PA      | $35089.76     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | 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        |      11782 | PA      | $8340.38      | 0.00%             | 2036-05-25      | Floating      | 4.27%                 | 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        |       8253 | PA      | $8227.26      | 0.00%             | 2036-06-25      | Floating      | 4.23%                 | 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        |     125766 | PA      | $46024.80     | 0.00%             | 2037-07-25      | Variable      | 6.51%                 | 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        |     473806 | PA      | $473803.30    | 0.03%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-HY3                                            | CUSIP: 89177XAA5<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     365216 | PA      | $365483.26    | 0.03%             | 2059-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                          | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $410964.00    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $313050.00    | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36350516 | PA      | $38133313.45  | 2.66%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40217141 | PA      | $43316133.31  | 3.02%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3552796 | PA      | $3921211.17   | 0.27%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     613491 | PA      | $618375.95    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70390690 | PA      | $70900878.71  | 4.94%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21599566 | PA      | $22292250.80  | 1.55%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13894380 | PA      | $13749484.34  | 0.96%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10444822 | PA      | $10221835.25  | 0.71%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48006933 | PA      | $37356941.85  | 2.60%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15425462 | PA      | $11474430.44  | 0.80%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40262370 | PA      | $33697798.66  | 2.35%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28545922 | PA      | $20803612.82  | 1.45%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52468826 | PA      | $39539170.67  | 2.75%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40620758 | PA      | $29275543.32  | 2.04%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17995979 | PA      | $10353371.84  | 0.72%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17133524 | PA      | $9249073.12   | 0.64%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8415360 | PA      | $4446551.00   | 0.31%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8647103 | PA      | $6739700.38   | 0.47%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10389470 | PA      | $9331636.61   | 0.65%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                         | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12450779 | PA      | $11810719.31  | 0.82%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                           | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     177000 | PA      | $178714.69    | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29913724 | PA      | $29564393.42  | 2.06%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13021662 | PA      | $12791609.99  | 0.89%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16899464 | PA      | $16636512.45  | 1.16%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37819781 | PA      | $36435129.18  | 2.54%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21758801 | PA      | $21631385.12  | 1.51%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29336353 | PA      | $28973617.11  | 2.02%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5979354 | PA      | $5907702.66   | 0.41%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42617694 | PA      | $40418356.76  | 2.82%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29860041 | PA      | $28178379.25  | 1.96%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47645426 | PA      | $44409959.58  | 3.09%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18646272 | PA      | $17275609.53  | 1.20%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30124457 | PA      | $29844361.00  | 2.08%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7746684 | PA      | $7078017.74   | 0.49%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11181083 | PA      | $10977928.55  | 0.76%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  170516245 | PA      | $159960331.13 | 11.14%            | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97733048 | PA      | $98464210.43  | 6.86%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43472744 | PA      | $41710365.91  | 2.91%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6729728 | PA      | $6702219.09   | 0.47%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67910910 | PA      | $66190186.76  | 4.61%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28999698 | PA      | $29862558.78  | 2.08%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11960711 | PA      | $11892131.03  | 0.83%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14411167 | PA      | $14714868.51  | 1.03%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46751111 | PA      | $46934986.86  | 3.27%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63480232 | PA      | $64102828.98  | 4.47%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18248346 | PA      | $18570493.36  | 1.29%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54776520 | PA      | $55045064.63  | 3.84%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31712212 | PA      | $31627303.82  | 2.20%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                           | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     298000 | PA      | $300141.88    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                         | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10863396 | PA      | $10696957.48  | 0.75%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 33 CLO Ltd                                                            | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |      58125 | PA      | $58122.73     | 0.00%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 44 CLO Ltd                                                            | CUSIP: 92332KAQ4<br>LEI: 5493005RF0X3GB54HH60 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $497651.00    | 0.03%             | 2034-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                            | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |     235699 | PA      | $235623.07    | 0.02%             | 2032-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                                    | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     300000 | PA      | $300112.29    | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | 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        |       3511 | PA      | $3401.39      | 0.00%             | 2042-11-25      | Floating      | 5.23%                 | 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        |      19834 | PA      | $18393.78     | 0.00%             | 2035-12-25      | Variable      | 4.70%                 | 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        |      45321 | PA      | $41953.36     | 0.00%             | 2046-02-25      | Floating      | 5.03%                 | 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        |      23830 | PA      | $21288.93     | 0.00%             | 2046-12-25      | Floating      | 3.88%                 | No            |                  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        |    1366915 | PA      | $470342.05    | 0.03%             | 2037-01-25      | Floating      | 4.31%                 | 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        |     228655 | PA      | $211876.06    | 0.01%             | 2046-07-25      | Floating      | 5.08%                 | 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        |    1228925 | PA      | $1140114.65   | 0.08%             | 2046-08-25      | Floating      | 5.03%                 | No            |                  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        |    2762396 | PA      | $2487016.63   | 0.17%             | 2036-11-25      | Variable      | 4.00%                 | 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        |      86476 | PA      | $78093.74     | 0.01%             | 2046-11-25      | Floating      | 5.53%                 | 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        |     128228 | PA      | $114550.53    | 0.01%             | 2047-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                              | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |        900 | NS      | $1090800.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                         | CUSIP: 94983PAF5<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      21177 | PA      | $20967.91     | 0.00%             | 2036-04-25      | Variable      | 6.06%                 | 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      | $-69354.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                                      | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     261224 | PA      | $351852.65    | 0.02%             | 2045-06-13      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       3155 | PA      | $456.71       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                       | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       4804 | PA      | $700.39       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       7688 | PA      | $1120.41      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        817 | PA      | $119.12       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1769155740 | PA      | $11480887.83  | 0.80%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2617368490 | PA      | $16967712.83  | 1.18%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $115266.98    | 0.01%             | 2028-01-14      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   19028420 | PA      | $22274069.56  | 1.55%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                       | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     282803 | PA      | $34650.73     | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                       | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.28         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      48909 | PA      | $6320.23      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1967264 | PA      | $2188337.55   | 0.15%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 44 Euro CLO 2015 DAC                                                   | CUSIP: 000000000<br>LEI: 635400YO6CJ2YJRXF230 | Long             | ABS-CBDO         | CORP              | IE        |    1241980 | PA      | $1456147.44   | 0.10%             | 2034-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1729682 | PA      | $209788.05    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |     531083 | PA      | $622986.51    | 0.04%             | 2031-12-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                      | St Paul's CLO X DAC                                                           | CUSIP: 000000000<br>LEI: 635400814HPIBD5YSW07 | Long             | ABS-CBDO         | CORP              | IE        |     793876 | PA      | $928787.23    | 0.06%             | 2035-04-22      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     459410 | PA      | $56439.02     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                       | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     497808 | PA      | $52471.55     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  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      |
| Carlyle Global Market Strategies Euro             | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd                          | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |     196580 | PA      | $230906.88    | 0.02%             | 2031-11-15      | Floating      | 2.81%                 | 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      | $822703.34    | 0.06%             | 2035-07-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                   | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     531092 | PA      | $624209.10    | 0.04%             | 2034-05-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     563001 | PA      | $66486.53     | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2100000 | PA      | $221661.32    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    7260220 | PA      | $854532.48    | 0.06%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $126557.70    | 0.01%             | 2029-11-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     698666 | PA      | $91845.35     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     120723 | PA      | $113986.27    | 0.01%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  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      | $940568.96    | 0.07%             | 2034-01-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $137494.09    | 0.01%             | 2027-09-30      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                         | Dryden 35 Euro CLO 2014 DAC                                                   | CUSIP: 000000000<br>LEI: 635400BB1FXUIKRSHD56 | Long             | ABS-CBDO         | CORP              | IE        |     407179 | PA      | $478345.94    | 0.03%             | 2033-01-17      | Floating      | 3.00%                 | 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      | $8352322.25   | 0.58%             | 2036-10-15      | Floating      | 3.78%                 | 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      | $3868437.42   | 0.27%             | 2034-10-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     937899 | PA      | $1101553.16   | 0.08%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   52572500 | PA      | $328790.24    | 0.02%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Providus CLO                                      | Providus CLO IV DAC                                                           | CUSIP: 000000000<br>LEI: 635400JHNUBVSY8RBH70 | Long             | ABS-CBDO         | CORP              | IE        |    2900000 | PA      | $3406399.79   | 0.24%             | 2034-04-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                 | AlbaCore Euro CLO IV DAC                                                      | CUSIP: 000000000<br>LEI: 635400OMGYX1QQYCTI48 | Long             | ABS-CBDO         | CORP              | IE        |     999913 | PA      | $1174541.21   | 0.08%             | 2035-07-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Henley Funding Ltd.                               | Henley CLO VII DAC                                                            | CUSIP: 000000000<br>LEI: 635400SRJSVJPTMR4D89 | Long             | ABS-CBDO         | CORP              | IE        |    1061510 | PA      | $1248550.53   | 0.09%             | 2034-04-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                                          | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1175270.50   | 0.08%             | 2034-11-20      | Floating      | 3.03%                 | 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      | $1996287.66   | 0.14%             | 2034-09-22      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bosphorus CLO                                     | Bosphorus CLO VI DAC                                                          | CUSIP: 000000000<br>LEI: 6354003QOK8LLEWEMR90 | Long             | ABS-CBDO         | CORP              | IE        |    6672987 | PA      | $7832354.67   | 0.55%             | 2034-05-25      | Floating      | 2.90%                 | 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        |    1585254 | PA      | $1857509.96   | 0.13%             | 2033-08-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding 2020-1 DAC    | Palmer Square European Loan Funding 2024-1 DAC                                | CUSIP: 000000000<br>LEI: 254900S9D49Z2X16W073 | Long             | ABS-CBDO         | CORP              | IE        |     737819 | PA      | $867134.66    | 0.06%             | 2033-08-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1030957500 | PA      | $6415549.99   | 0.45%             | 2035-03-10      | Fixed         | 0.01%                 | 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      | $1762103.68   | 0.12%             | 2036-08-29      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR26                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -10 | NC      | $10495.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        347 | NC      | $-60549.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR26                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -101 | NC      | $208390.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR26                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          3 | NC      | $-6208.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        189 | NC      | $-101709.14   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR26                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -427 | NC      | $617710.36    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1782 | NC      | $1667984.83   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -211 | NC      | $193807.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1100 | NC      | $-2164928.50  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -382 | NC      | $97166.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1529 | NC      | $-184061.03   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1373 | NC      | $-880213.23   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR26                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -9 | NC      | $51250.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENTINE PESO                                    | ARGENTINE PESO                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             |  |  | AR        |  375648123 | NS      | $258799.95    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                  | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $116745.39    | 0.01%             | 2027-06-24      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    2368673 | PA      | $2709006.60   | 0.19%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                                          | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 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      | $505654.14    | 0.04%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                                        | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    3995832 | PA      | $504602.82    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  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      | $-69362.37    | -0.00%            |  |  |  | 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      | $-135406.60   | -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      | $-165878.81   | -0.01%            |  |  |  | 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      | $-165292.77   | -0.01%            |  |  |  | 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      | $-29910.66    | -0.00%            |  |  |  | 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      | $-21978.12    | -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      | $56336.79     | 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      | $71820.92     | 0.01%             |  |  |  | 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      | $734.18       | 0.00%             |  |  |  | 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      | $4414753.39   | 0.31%             |  |  |  | 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      | $4604899.52   | 0.32%             |  |  |  | No            |                  2 | 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      | $8022000.35   | 0.56%             |  |  |  | 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      | $5645335.68   | 0.39%             |  |  |  | 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      | $172827.75    | 0.01%             |  |  |  | No            |                  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      | $278062.10    | 0.02%             |  |  |  | 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      | $570981.14    | 0.04%             |  |  |  | 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      | $-2312793.70  | -0.16%            |  |  |  | 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      | $4987069.37   | 0.35%             |  |  |  | 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      | $1088447.13   | 0.08%             |  |  |  | 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      | $158532.98    | 0.01%             |  |  |  | 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      | $147055.35    | 0.01%             |  |  |  | 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      | $-310642.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25300000 | OU      | $131241.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 03/18/26-10Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   70970000 | OU      | $-1482877.64  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 03/18/26-30Y LCH                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10560000 | OU      | $616885.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   54900000 | OU      | $348637.38    | 0.02%             |  |  |  | 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      | $35751.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28788000 | OU      | $126453.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $4358.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15300000 | OU      | $439384.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/9128282L3 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-52748.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/91282CDX6 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   30000000 | OU      | $-242404.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/91282CCM1 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   50000000 | OU      | $-381308.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/9128283R9 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   60000000 | OU      | $-204546.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/912828Y38 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   40000000 | OU      | $-168841.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/912828V49 MYC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-52630.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $2471.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37792700 | OU      | $42418.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     756000 | OU      | $3778.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13891100 | OU      | $251352.22    | 0.02%             |  |  |  | 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      | $11964.61     | 0.00%             |  |  |  | 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      | $-169358.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.43375 08/27/25-1Y LCH                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14900000 | OU      | $97868.47     | 0.01%             |  |  |  | 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      | $-1474658.40  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.435 08/01/25-1Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14900000 | OU      | $88047.60     | 0.01%             |  |  |  | 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      | $-6007.85     | -0.00%            |  |  |  | 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      | $6748.93      | 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      | $138741.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.365 09/15/25-2Y LCH                                          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6300000 | OU      | $-85745.39    | -0.01%            |  |  |  | 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      | $1608607.40   | 0.11%             |  |  |  | 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      | $2039541.64   | 0.14%             |  |  |  | No            |                  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      | $33871.36     | 0.00%             |  |  |  | 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      | $11826.61     | 0.00%             |  |  |  | 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      | $1252476.33   | 0.09%             |  |  |  | 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      | $1519533.74   | 0.11%             |  |  |  | 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      | $1071824.73   | 0.07%             |  |  |  | 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      | $144297.06    | 0.01%             |  |  |  | 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      | $161988.53    | 0.01%             |  |  |  | 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      | $-4211427.89  | -0.29%            |  |  |  | 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      | $144337.60    | 0.01%             |  |  |  | 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      | $-1313894.97  | -0.09%            |  |  |  | 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      | $-88045.34    | -0.01%            |  |  |  | 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      | $424263.36    | 0.03%             |  |  |  | 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      | $24241.53     | 0.00%             |  |  |  | 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      | $50038.45     | 0.00%             |  |  |  | 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      | $40485.34     | 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      | $492477.73    | 0.03%             |  |  |  | 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      | $169473.22    | 0.01%             |  |  |  | No            |                  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      | $53517.65     | 0.00%             |  |  |  | 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      | $21287.97     | 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      | $-101509.11   | -0.01%            |  |  |  | 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      | $274265.41    | 0.02%             |  |  |  | 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      | $2523999.07   | 0.18%             |  |  |  | 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      | $-3117370.16  | -0.22%            |  |  |  | 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      | $365200.91    | 0.03%             |  |  |  | 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      | $-24896.38    | -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      | $4886.38      | 0.00%             |  |  |  | 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      | $265985.22    | 0.02%             |  |  |  | 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      | $-1454100.99  | -0.10%            |  |  |  | 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      | $-673588.18   | -0.05%            |  |  |  | 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      | $79483.19     | 0.01%             |  |  |  | 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      | $687816.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-22

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

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer