# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-010286
**Filing Date:** 2026-2
**Character Count:** 236046
**Document Hash:** 0d17d5c269aa92c66abe0450e1fe8c98
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-010286.hdr.sgml**: 20260206

**ACCESSION NUMBER**: 0001410368-26-010286

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260206

**DATE AS OF CHANGE**: 20260206

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26605147

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP PIMCO Low Duration Bond Fund (Series ID: S000045002)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000139574 | Standard Class |  |
| C000139575 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP PIMCO Low Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000045002

- **c. LEI of Series:** 549300G0ZUNHVUP0B510

**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:** $1202612586.77

**Total Liabilities:** $325561789.67

**Net Assets:** $877050797.10

**Delayed Delivery Securities:** $320497993.08

**Cash Not Reported:** $2239458.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4723.06000000 | **1-Year:** -34310.28000000 | **5-Year:** -23003.71000000 | **10-Year:** -9056.25000000 | **30-Year:** -1654.20000000

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

- **3-Month:** -425.35000000 | **1-Year:** -2078.27000000 | **5-Year:** -12182.34000000 | **10-Year:** -8084.00000000 | **30-Year:** -2941.77000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000139574 | 0.35%                | 0.46%                | 0.43%                |
| Class ID C000139575 | 0.33%                | 0.44%                | 0.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $974839.62               | $-1560599.64                               |
| Month 2  | $-437750.54              | $1485528.14                                |
| Month 3  | $479143.35               | $289075.56                                 |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AES CORP/THE                                               | AES Corp/The                                                                                                          | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5193973.88   | 0.59%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                      | AMMC CLO 27 Ltd                                                                                                       | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $298916.10    | 0.03%             | 2037-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2022-CRE7 LLC                                                                                                   | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2716226 | PA      | $2716253.12   | 0.31%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                             | Accredited Mortgage Loan Trust 2004-3                                                                                 | CUSIP: 004375BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2322 | PA      | $2310.74      | 0.00%             | 2034-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AG Trust                                                   | AG Trust 2024-NLP                                                                                                     | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615563 | PA      | $1623674.42   | 0.19%             | 2041-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                     | Adventist Health System/West                                                                                          | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2659966.57   | 0.30%             | 2030-12-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                                           | AGL CLO 14 Ltd                                                                                                        | CUSIP: 00851WAL3<br>LEI: 254900G6P36ERQHAIS15 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3500325.50   | 0.40%             | 2034-12-02      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                                                        | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6400000 | PA      | $6396547.26   | 0.73%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                              | Aircastle Ltd                                                                                                         | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   1200000 | PA      | $1165942.67   | 0.13%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                                    | Algonquin Power & Utilities Corp                                                                                      | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   8800000 | PA      | $8841508.63   | 1.01%             | 2026-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                 | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43400000 | PA      | $43238945.20  | 4.93%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 114500000 | PA      | $117502151.07 | 13.40%            | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                      | American Airlines 2014-1 Class A Pass Through Trust                                                                   | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    658697 | PA      | $656101.26    | 0.07%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                     | American Honda Finance Corp                                                                                           | CUSIP: 02665WGM7<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   7200000 | PA      | $7217643.02   | 0.82%             | 2027-03-08      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                        | American Tower Corp                                                                                                   | CUSIP: 03027XBL3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   7400000 | PA      | $7349725.07   | 0.84%             | 2026-04-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                        | American Tower Corp                                                                                                   | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1700000 | PA      | $1740719.32   | 0.20%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                 | AMETEK Inc                                                                                                            | CUSIP: 03111CA60<br>LEI: 549300WZDEF9KKE40E98 | Long             | STIV             | CORP              | US        |   5400000 | PA      | $5396887.49   | 0.62%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                    | Amortizing Residential Collateral Trust 2004-1                                                                        | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21243 | PA      | $21017.77     | 0.00%             | 2034-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd            | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                                | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1312813 | PA      | $1312827.53   | 0.15%             | 2036-11-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                      | Arrow Electronics Inc                                                                                                 | CUSIP: 04273WAF8<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2250144.84   | 0.26%             | 2029-08-21      | Fixed         | 5.15%                 | 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        |   1259950 | PA      | $1355050.09   | 0.15%             | 2034-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A3U3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2314381.19   | 0.26%             | 2027-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A4B4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1003377.35   | 0.11%             | 2026-08-27      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5007610.65   | 0.57%             | 2026-07-16      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | Athene Global Funding                                                                                                 | CUSIP: 04686E4J8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401350.94    | 0.05%             | 2026-08-27      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                   | Avis Budget Rental Car Funding AESOP LLC                                                                              | CUSIP: 05377RHL1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7782504.88   | 0.89%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                   | Avolon Holdings Funding Ltd                                                                                           | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    281000 | PA      | $280082.91    | 0.03%             | 2026-02-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Trust                          | BA Credit Card Trust                                                                                                  | CUSIP: 05522RDH8<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4344632.71   | 0.50%             | 2028-11-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                       | BAT International Finance PLC                                                                                         | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4972392.60   | 0.57%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                         | BMW US Capital LLC                                                                                                    | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2009445.22   | 0.23%             | 2028-03-21      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                                                                               | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2700000 | PA      | $2750837.92   | 0.31%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                                                                               | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1582307.04   | 0.18%             | 2027-10-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                    | BPCE SA                                                                                                               | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   4314000 | PA      | $4316596.12   | 0.49%             | 2027-01-18      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                    | BSREP Commercial Mortgage Trust 2021-DC                                                                               | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152845 | PA      | $2981257.27   | 0.34%             | 2038-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Limited                            | Bain Capital Credit Clo 2019-3 Ltd                                                                                    | CUSIP: 05683TBA6<br>LEI: 549300434Q955VK1W392 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3494400.00   | 0.40%             | 2034-10-21      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                           | Bain Capital Credit CLO 2021-6 Ltd                                                                                    | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3501932.00   | 0.40%             | 2034-10-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                                  | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000965.92   | 0.23%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Auto Trust                                 | Bank of America Auto Trust 2023-1                                                                                     | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870001 | PA      | $1883229.36   | 0.21%             | 2028-02-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                               | Barclays PLC                                                                                                          | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $3000205.71   | 0.34%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                               | Barclays PLC                                                                                                          | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1609003.79   | 0.18%             | 2027-05-09      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                    | Bayer US Finance II LLC                                                                                               | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4204602.61   | 0.48%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                | Bear Stearns ARM Trust 2003-1                                                                                         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8510 | PA      | $8271.35      | 0.00%             | 2033-04-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                 | Bear Stearns Asset Backed Securities Trust 2003-2                                                                     | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24977 | PA      | $25177.97     | 0.00%             | 2043-03-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                 | Bear Stearns Asset Backed Securities I Trust 2005-AQ1                                                                 | CUSIP: 073879UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81804 | PA      | $81792.41     | 0.01%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                       | Beignet Investor LLC                                                                                                  | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1172709.58   | 0.13%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                   | Benchmark 2019-B12 Mortgage Trust                                                                                     | CUSIP: 08162FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3767069 | PA      | $3699768.90   | 0.42%             | 2052-08-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                           | Berry Global Inc                                                                                                      | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4195793.07   | 0.48%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299647.11    | 0.03%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9800000 | PA      | $9781346.39   | 1.12%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                              | Boeing Co/The                                                                                                         | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513008.16    | 0.06%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BRIGHTHSE FIN GLBL FUND                                    | Brighthouse Financial Global Funding                                                                                  | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $989204.30    | 0.11%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                      | CWABS Inc Asset-Backed Certificates Trust 2004-6                                                                      | CUSIP: 126673AW2<br>LEI: 549300H6I2066O1LC673 | Long             | ABS-O            | CORP              | US        |    999143 | PA      | $978627.43    | 0.11%             | 2034-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                    | Canadian Natural Resources Ltd                                                                                        | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $820453.29    | 0.09%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                   | Canadian Pacific Railway Co                                                                                           | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $1194630.65   | 0.14%             | 2026-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                             | Carvana Auto Receivables Trust 2024-P4                                                                                | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1307881.51   | 0.15%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CARDS II Trust                                             | CARDS II Trust                                                                                                        | CUSIP: 14161GCM0<br>LEI: 549300GWPYLNK6X47W76 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4043664.80   | 0.46%             | 2031-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | CarMax Auto Owner Trust 2024-4                                                                                        | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1011496 | PA      | $1013045.08   | 0.12%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | CarMax Auto Owner Trust 2023-4                                                                                        | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4656971 | PA      | $4717027.99   | 0.54%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                    | Carmax Auto Owner Trust 2025-1                                                                                        | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4058677.20   | 0.46%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                             | Carvana Auto Receivables Trust 2025-P1                                                                                | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3017684.70   | 0.34%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTIT                                   | Cassa Depositi e Prestiti SpA                                                                                         | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | NUSS              | IT        |   2500000 | PA      | $2633834.00   | 0.30%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                     | Chase Auto Owner Trust 2023-A                                                                                         | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372031 | PA      | $1386419.33   | 0.16%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                     | Chase Auto Owner Trust 2024-5                                                                                         | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $802618.64    | 0.09%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                            | Citizens Auto Receivables Trust 2023-2                                                                                | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1177054 | PA      | $1185080.84   | 0.14%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                            | Citizens Auto Receivables Trust 2023-1                                                                                | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4735000 | PA      | $4812078.70   | 0.55%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                           | Crown Castle Inc                                                                                                      | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   6500000 | PA      | $6485291.93   | 0.74%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                | CRSNT Trust 2021-MOON                                                                                                 | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4468369.95   | 0.51%             | 2036-04-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINAN NA                                     | Daimler Truck Finance North America LLC                                                                               | CUSIP: 233853AP5<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4201375.50   | 0.48%             | 2026-01-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-9973.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-7302.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-10696.95    | -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      | $-38890.63    | -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      | $-42696.98    | -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      | $-20304.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-2468.36     | -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      | $12127.80     | 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      | $24485.55     | 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      | $1999.20      | 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      | $-3106.03     | -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      | $6008.82      | 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      | $4921.84      | 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      | $10035.05     | 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      | $5220.36      | 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      | $8398.29      | 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      | $16653.50     | 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      | $30090.45     | 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      | $18858.11     | 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      | $986.72       | 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      | $27220.73     | 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      | $1093.79      | 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      | $2188.12      | 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      | $1368.16      | 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      | $928.65       | 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      | $38177.06     | 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      | $-3322.57     | -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      | $-2648.66     | -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      | $-1011.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED INR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | IN        |         1 | NC      | $-23738.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-390.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1355.67     | -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      | $1354.95      | 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      | $-1155.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED PLN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |         1 | NC      | $26302.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD THB                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-1081.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-390.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD DKK                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-94731.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED MXN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |         1 | NC      | $10282.41     | 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      | $-6141.82     | -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      | $-4668.81     | -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      | $-9725.55     | -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      | $-6687.87     | -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      | $13726.23     | 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      | $-13962.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED CHF / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CH        |         1 | NC      | $5571.01      | 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      | $246.03       | 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      | $4821.81      | 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      | $8135.41      | 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      | $-275133.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED NZD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | NZ        |         1 | NC      | $13557.70     | 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      | $-4044.88     | -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      | $-6499.18     | -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      | $542.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-77554.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD SGD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-40526.91    | -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      | $-3688.66     | -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      | $-6006.27     | -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      | $-1503.96     | -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      | $-1469.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED JPY / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |         1 | NC      | $-4888.20     | -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      | $-202567.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CAD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-66062.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD EUR                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-421473.77   | -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      | $10410.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED GBP / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | GB        |         1 | NC      | $37382.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED AUD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $27897.35     | 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      | $817.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED AUD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $112456.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED THB / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TH        |         1 | NC      | $0.22         | 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      | $15447.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1878.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD CAD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-8633.82     | -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      | $622.63       | 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      | $-20149.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED NZD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |         1 | NC      | $1015.04      | 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      | $-33.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD TWD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $65.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD MXN                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-16.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED MXN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |         1 | NC      | $5369.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD JPY                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $3849.08      | 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      | $-5516.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED AUD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $21572.77     | 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      | $1174.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED MXN / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |         1 | NC      | $3520.72      | 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      | $4891.82      | 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      | $-12635.57    | -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      | $128.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD CAD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-1321.42     | -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      | $914.62       | 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      | $-9341.58     | -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      | $1475.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED IDR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |         1 | NC      | $233.79       | 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      | $3224.92      | 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      | $-312.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $-1810.02     | -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      | $1393.46      | 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      | $4523.38      | 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      | $3611.46      | 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      | $-1681.25     | -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      | $-13270.04    | -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      | $22104.30     | 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      | $235.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD NZD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $934.05       | 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      | $17994.78     | 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      | $-1956.51     | -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      | $12529.55     | 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      | $-12229.39    | -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      | $-4325.12     | -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      | $4296.13      | 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      | $-5591.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $-2335.64     | -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      | $795.60       | 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      | $384.08       | 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      | $-139.76      | -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      | $-141.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $149.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED ILS / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | IL        |         1 | NC      | $1196.91      | 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      | $-164.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TW        |         1 | NC      | $4538.67      | 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      | $2375.71      | 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      | $879.33       | 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      | $2261.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD NZD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $765.08       | 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      | $-4059.06     | -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      | $2781.84      | 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      | $2185.66      | 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      | $-8381.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD NZD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $477.26       | 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      | $-239.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD JPY                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $1683.71      | 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      | $-115.35      | -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      | $-2581.51     | -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      | $2206.47      | 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      | $-751.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED EUR / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |         1 | NC      | $2230.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |         1 | NC      | $-1067.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $1071.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED KRW / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KR        |         1 | NC      | $-178.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | PURCHASED USD / SOLD KRW                                                                                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $174.78       | 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      | $731.86       | 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      | $-756.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TW        |         1 | NC      | $-115.72      | -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      | $205.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD BRL                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-5950.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED BRL / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |         1 | NC      | $5921.18      | 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      | $-14.55       | -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      | $133.35       | 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      | $-251.79      | -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      | $129.42       | 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      | $-4.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |         1 | NC      | $-165.58      | -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      | $466.61       | 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      | $776.61       | 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      | $27.14        | 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      | $553.49       | 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      | $428.67       | 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      | $1539.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED TWD / SOLD USD                                                                                              | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TW        |         1 | NC      | $-808.11      | -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      | $-82.75       | -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      | $508.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                    | Dryden 86 CLO Ltd                                                                                                     | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1301591.20   | 0.15%             | 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        |   3500000 | PA      | $3497504.50   | 0.40%             | 2034-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                       | ERAC USA Finance LLC                                                                                                  | CUSIP: 26882SAC0<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | STIV             | CORP              | US        |   8900000 | PA      | $8888578.36   | 1.01%             | 2026-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                   | Eagle Funding Luxco Sarl                                                                                              | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5200000 | PA      | $5296668.00   | 0.60%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                          | Elevation Clo 2021-15 Ltd                                                                                             | CUSIP: 28623VAN9<br>LEI: 5493005VN5WX000OV470 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2994297.00   | 0.34%             | 2035-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 2021-A LLC                      | ELFI Graduate Loan Program 2021-A LLC                                                                                 | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808254 | PA      | $1626363.15   | 0.19%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                       | Enel Finance International NV                                                                                         | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1435707.20   | 0.16%             | 2029-06-26      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2025-4 LLC                                                                                 | CUSIP: 29373NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4507106.85   | 0.51%             | 2028-08-20      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2022-4 LLC                                                                                 | CUSIP: 29374GAB7<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    539954 | PA      | $541780.01    | 0.06%             | 2029-10-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2023-1 LLC                                                                                 | CUSIP: 29375CAB5<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    306709 | PA      | $307174.96    | 0.04%             | 2029-01-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                                   | Equitable Financial Life Global Funding                                                                               | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4497424.07   | 0.51%             | 2026-01-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                                | Evergreen Credit Card Trust                                                                                           | CUSIP: 30023JCZ9<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |   5200000 | PA      | $5216739.84   | 0.59%             | 2029-10-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                        | FS KKR Capital Corp                                                                                                   | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1499421.59   | 0.17%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                    | CUSIP: 31351DC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304799 | PA      | $1293199.65   | 0.15%             | 2038-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                                                                    | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600629 | PA      | $595226.65    | 0.07%             | 2037-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136A0J65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511157 | PA      | $509105.21    | 0.06%             | 2041-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136ABM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4315657 | PA      | $3768041.98   | 0.43%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220665 | PA      | $218868.79    | 0.02%             | 2044-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                       | CUSIP: 3136AVKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1443202 | PA      | $1427252.96   | 0.16%             | 2027-02-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                                                       | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790734 | PA      | $779781.64    | 0.09%             | 2026-12-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136AYN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1237130 | PA      | $1226440.50   | 0.14%             | 2047-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136B5K95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257651 | PA      | $1221916.93   | 0.14%             | 2049-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136B9TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575110 | PA      | $1582577.11   | 0.18%             | 2050-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BTS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370341 | PA      | $1372793.45   | 0.16%             | 2054-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BTXD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2548383 | PA      | $2561607.66   | 0.29%             | 2053-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BU5D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2171803 | PA      | $2177992.53   | 0.25%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BU5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486564 | PA      | $488327.47    | 0.06%             | 2055-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3598163 | PA      | $3600225.57   | 0.41%             | 2055-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3063996 | PA      | $3065561.13   | 0.35%             | 2055-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2377670 | PA      | $2384726.32   | 0.27%             | 2054-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3581586 | PA      | $3592808.37   | 0.41%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUTN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723485 | PA      | $728117.44    | 0.08%             | 2055-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BUU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884352 | PA      | $888998.41    | 0.10%             | 2053-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342860 | PA      | $2355143.81   | 0.27%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243178 | PA      | $1246267.10   | 0.14%             | 2055-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317291 | PA      | $318510.50    | 0.04%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701278 | PA      | $703190.74    | 0.08%             | 2055-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934866 | PA      | $937665.31    | 0.11%             | 2055-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BVKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10671163 | PA      | $10698122.77  | 1.22%             | 2054-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BWNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820970 | PA      | $824676.07    | 0.09%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BXN67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109235 | PA      | $1111316.04   | 0.13%             | 2053-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BXS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320795 | PA      | $1322994.65   | 0.15%             | 2055-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BXY40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597457 | PA      | $599241.26    | 0.07%             | 2055-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                     | CUSIP: 3136BXZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889212 | PA      | $891994.86    | 0.10%             | 2055-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137AX2H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4546307 | PA      | $3909211.46   | 0.45%             | 2042-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BBVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483259 | PA      | $478060.59    | 0.05%             | 2040-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BCL48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282449 | PA      | $1267996.03   | 0.14%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137BFMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    783370 | PA      | $773921.34    | 0.09%             | 2040-06-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1434594 | PA      | $1418178.16   | 0.16%             | 2038-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FNWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1823651 | PA      | $1799824.27   | 0.21%             | 2038-12-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137FQZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258794 | PA      | $238728.99    | 0.03%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137H0VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4097671 | PA      | $3570289.46   | 0.41%             | 2044-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.           | Freddie Mac Multifamily Structured Pass Through Certificates                                                          | CUSIP: 3137HHH38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2111295 | PA      | $2111289.57   | 0.24%             | 2027-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHKS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1657632 | PA      | $1666516.49   | 0.19%             | 2054-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2377578 | PA      | $2388953.14   | 0.27%             | 2054-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HHWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2276979 | PA      | $2283364.94   | 0.26%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJ7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344859 | PA      | $344583.78    | 0.04%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJAP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2838948 | PA      | $2850672.07   | 0.33%             | 2055-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJB30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2801374 | PA      | $2811556.64   | 0.32%             | 2054-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJG84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898857 | PA      | $1900077.01   | 0.22%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HJGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356509 | PA      | $356105.14    | 0.04%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10219456 | PA      | $10252795.62  | 1.17%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    635432 | PA      | $638426.03    | 0.07%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1866687 | PA      | $1874593.38   | 0.21%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4354839 | PA      | $4354328.73   | 0.50%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HKPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5206002 | PA      | $5212778.24   | 0.59%             | 2055-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLEP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5069328 | PA      | $5086474.70   | 0.58%             | 2055-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLNN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3082437 | PA      | $3095136.71   | 0.35%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLSA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4059943 | PA      | $4085841.65   | 0.47%             | 2052-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1455171 | PA      | $1461691.11   | 0.17%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HLZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327523 | PA      | $1334168.78   | 0.15%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HMD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1543461 | PA      | $1553474.45   | 0.18%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HMDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    981262 | PA      | $988195.44    | 0.11%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HMGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1796261 | PA      | $1806497.30   | 0.21%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HMGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689193 | PA      | $693998.37    | 0.08%             | 2055-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HNCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481040 | PA      | $482456.69    | 0.06%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HNQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789858 | PA      | $792270.71    | 0.09%             | 2055-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                    | CUSIP: 3137HNV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686066 | PA      | $688202.34    | 0.08%             | 2055-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                                                       | CUSIP: 3140Q1EY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $8664276.23   | 0.99%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Finance America Mortgage Loan Trust                        | Finance America Mortgage Loan Trust 2004-2                                                                            | CUSIP: 317350BD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260833 | PA      | $253254.22    | 0.03%             | 2034-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                   | FirstEnergy Transmission LLC                                                                                          | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3325538.90   | 0.38%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                                                      | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $796808.27    | 0.09%             | 2027-07-15      | Fixed         | 3.90%                 | 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        |     78734 | PA      | $78749.37     | 0.01%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust                             | Ford Auto Securitization Trust II                                                                                     | CUSIP: 345214BT6<br>LEI: 549300OMOD4L2OWKWN21 | Long             | ABS-O            | CORP              | CA        |   1329412 | PA      | $975176.85    | 0.11%             | 2028-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                   | Ford Credit Auto Owner Trust 2023-REV2                                                                                | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3514162.82   | 0.40%             | 2036-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                   | Ford Credit Auto Owner Trust 2023-REV1                                                                                | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6119790.00   | 0.70%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                                                              | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1866000 | PA      | $1856298.42   | 0.21%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                                                              | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   6200000 | PA      | $6233685.84   | 0.71%             | 2026-11-05      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                                                              | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600037.22    | 0.07%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                    | GA Global Funding Trust                                                                                               | CUSIP: 36143L2A2<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599445.80    | 0.07%             | 2026-01-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GCAT                                                       | GCAT 2022-CM1 Trust                                                                                                   | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110028 | PA      | $1046839.62   | 0.12%             | 2066-12-27      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                            | GSR Mortgage Loan Trust 2005-5F                                                                                       | CUSIP: 36242D7K3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     90819 | PA      | $88255.33     | 0.01%             | 2035-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GPMT Ltd.                                                  | GPMT 2021-FL3 Ltd                                                                                                     | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    295775 | PA      | $295606.85    | 0.03%             | 2035-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                        | GS Mortgage-Backed Securities Trust 2024-PJ7                                                                          | CUSIP: 362949BR9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |   1376987 | PA      | $1381508.12   | 0.16%             | 2054-11-25      | Floating      | 5.22%                 | 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        |    618075 | PA      | $618433.73    | 0.07%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                        | Global Payments Inc                                                                                                   | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6313000 | PA      | $6283527.07   | 0.72%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr          | GM Financial Consumer Automobile Receivables Trust 2024-4                                                             | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3022495.20   | 0.34%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                    | Goldentree Loan Management US Clo 8 Ltd                                                                               | CUSIP: 38136NAY2<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3002457.00   | 0.34%             | 2034-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                           | CUSIP: 38141GXX7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    900000 | PA      | $900957.45    | 0.10%             | 2027-03-09      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428919 | PA      | $430480.46    | 0.05%             | 2066-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38376RZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273566 | PA      | $274676.71    | 0.03%             | 2066-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38381ND21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488554 | PA      | $492003.47    | 0.06%             | 2055-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38381NNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6364293 | PA      | $6388761.51   | 0.73%             | 2055-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1419048 | PA      | $1424975.28   | 0.16%             | 2072-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3294410 | PA      | $3291854.31   | 0.38%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38383KFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7309303 | PA      | $7405195.77   | 0.84%             | 2073-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38383KKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2678274 | PA      | $2669651.43   | 0.30%             | 2073-09-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38384GP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300740 | PA      | $301314.22    | 0.03%             | 2054-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38385GMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1170528 | PA      | $1176469.70   | 0.13%             | 2055-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38385GQ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568668 | PA      | $572360.39    | 0.07%             | 2055-06-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Government National Mortgage Association                                                                              | CUSIP: 38385GWL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2699632 | PA      | $2614103.50   | 0.30%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                           | Greywolf CLO III Ltd                                                                                                  | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |   3485283 | PA      | $3487297.55   | 0.40%             | 2033-04-22      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                           | Greywolf CLO IV Ltd                                                                                                   | CUSIP: 39809TAW7<br>LEI: 5493008JNE27URH1VF66 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $299769.60    | 0.03%             | 2034-04-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                               | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   8700000 | PA      | $8718781.91   | 0.99%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                         | Honda Auto Receivables 2024-4 Owner Trust                                                                             | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3318258.57   | 0.38%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                      | HPEFS Equipment Trust 2025-2                                                                                          | CUSIP: 442927AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8008436.00   | 0.91%             | 2032-11-22      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Huntington Auto Trust                                      | Huntington Auto Trust 2024-1                                                                                          | CUSIP: 446144AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1734567 | PA      | $1751494.37   | 0.20%             | 2029-01-16      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                   | Huntington Ingalls Industries Inc                                                                                     | CUSIP: 446413BA3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4444116.48   | 0.51%             | 2030-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                          | Hyatt Hotels Corp                                                                                                     | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1730827.92   | 0.20%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                    | Hyundai Capital America                                                                                               | CUSIP: 44891ADE4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    900000 | PA      | $903646.80    | 0.10%             | 2027-06-24      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                    | Hyundai Capital America                                                                                               | CUSIP: 44891ADQ7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1126881.42   | 0.13%             | 2030-03-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                             | Hyundai Auto Receivables Trust 2024-C                                                                                 | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2519707.00   | 0.29%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                    | Hyundai Auto Lease Securitization Trust 2025-A                                                                        | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3535399.70   | 0.40%             | 2028-01-18      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                               | ING Groep NV                                                                                                          | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   3124000 | PA      | $3104476.28   | 0.35%             | 2027-04-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust Series 2025-NQM2                                                                             | CUSIP: 46590SAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   2743177 | PA      | $2770312.08   | 0.32%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                                   | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9300000 | PA      | $9316844.35   | 1.06%             | 2027-04-22      | Floating      | 4.80%                 | 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      | $544245.63    | 0.06%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS                                     | KKR Financial Holdings LLC                                                                                            | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4375760.04   | 0.50%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR Clo 16 Ltd                                                                                                        | CUSIP: 48251BBE9<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4402156.00   | 0.50%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                      | KKR CLO 36 Ltd                                                                                                        | CUSIP: 48255AAJ7<br>LEI: 25490057CIZ1GI9ZCN22 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999751.00    | 0.11%             | 2034-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                       | Keurig Dr Pepper Inc                                                                                                  | CUSIP: 49271KA79<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | STIV             | CORP              | US        |   4900000 | PA      | $4896733.32   | 0.56%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                                  | Kubota Credit Owner Trust 2023-2                                                                                      | CUSIP: 500945AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2529342 | PA      | $2548204.29   | 0.29%             | 2028-01-18      | Fixed         | 5.28%                 | 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        |     81441 | PA      | $81444.79     | 0.01%             | 2031-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                                                  | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4677910.94   | 0.53%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                                                                  | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4079776.20   | 0.47%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                   | Lloyds Banking Group PLC                                                                                              | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2330909.98   | 0.27%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2020-NQM2 Trust                                                                                                   | CUSIP: 552751AA7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    183971 | PA      | $179971.86    | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2021-RPL1 Trust                                                                                                   | CUSIP: 55283QAA2<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   1369151 | PA      | $1262911.50   | 0.14%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                 | MFA 2023-NQM4 Trust                                                                                                   | CUSIP: 55286LAA0<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    602420 | PA      | $607289.01    | 0.07%             | 2068-12-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                     | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3                                                            | CUSIP: 589929R26<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      2528 | PA      | $2440.05      | 0.00%             | 2033-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                     | Mizuho Financial Group Inc                                                                                            | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   3700000 | PA      | $3659018.54   | 0.42%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                              | NYO Commercial Mortgage Trust 2021-1290                                                                               | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4491831.15   | 0.51%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                    | National Bank of Canada                                                                                               | CUSIP: 63307A2Z7<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5011935.00   | 0.57%             | 2027-07-02      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                    | National Bank of Canada                                                                                               | CUSIP: 63307A3G8<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $500453.47    | 0.06%             | 2027-03-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                               | Navient Refinance Loan Trust 2025-C                                                                                   | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1939157 | PA      | $1942934.92   | 0.22%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2020-H                                                                      | CUSIP: 63935BAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    513316 | PA      | $485846.95    | 0.06%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Loan Trust 2020-A                                                                           | CUSIP: 63941FAB2<br>LEI: 549300GZIQGXPYGM8M95 | Long             | ABS-O            | CORP              | US        |    976562 | PA      | $948180.58    | 0.11%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2020-H                                                                      | CUSIP: 63942AAA4<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1081076 | PA      | $1011959.83   | 0.12%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2021-G                                                                      | CUSIP: 63942KAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1451159 | PA      | $1318173.70   | 0.15%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Private Education Refi Loan Trust 2022-A                                                                      | CUSIP: 63942MAA8<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   2641402 | PA      | $2419723.74   | 0.28%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                 | Navient Student Loan Trust                                                                                            | CUSIP: 63942TAA3<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    832360 | PA      | $861414.87    | 0.10%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Navesink CLO, Limited                                      | Navesink CLO 2 Ltd                                                                                                    | CUSIP: 63942YAA2<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3500000.00   | 0.40%             | 2036-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                               | Navient Education Loan Trust 2025-A                                                                                   | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714179 | PA      | $721876.72    | 0.08%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                               | Navient Refinance Loan Trust 2025-A                                                                                   | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2224268 | PA      | $2255007.84   | 0.26%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                  | Nelnet Student Loan Trust 2025-B                                                                                      | CUSIP: 64032BAA1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   3742842 | PA      | $3753463.86   | 0.43%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                  | Nelnet Student Loan Trust 2025-C                                                                                      | CUSIP: 64035UAA6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   4013743 | PA      | $3997577.70   | 0.46%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2018-3                                                                            | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |    242544 | PA      | $239396.49    | 0.03%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                    | New York Mortgage Trust 2005-3                                                                                        | CUSIP: 649603AG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40655 | PA      | $40435.80     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1284000 | PA      | $1261334.83   | 0.14%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1800000 | PA      | $1800526.34   | 0.21%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                        | Nomura Holdings Inc                                                                                                   | CUSIP: 65535HBR9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2200000 | PA      | $2247263.92   | 0.26%             | 2027-07-02      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                              | OFSI BSL X Ltd                                                                                                        | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4002544.00   | 0.46%             | 2034-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2023-NQM6 Trust                                                                                                   | CUSIP: 67117VAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   1427042 | PA      | $1434500.74   | 0.16%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2024-NQM5 Trust                                                                                                   | CUSIP: 67448NAA6<br>LEI: 254900RDM4XSF0B1E373 | Long             | ABS-MBS          | CORP              | US        |    841615 | PA      | $850404.62    | 0.10%             | 2064-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                                   | Oceanview Mortgage Trust 2025-INV3                                                                                    | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016443 | PA      | $1016615.73   | 0.12%             | 2055-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                                                             | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2709038.22   | 0.31%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                                           | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3676671.72   | 0.42%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                                  | ORIX Corp                                                                                                             | CUSIP: 686330AS0<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $2032682.58   | 0.23%             | 2029-09-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                        | PFS Financing Corp                                                                                                    | CUSIP: 69335PEY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5056667.00   | 0.58%             | 2028-10-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                                | PNC Bank NA                                                                                                           | CUSIP: 69353RFX1<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8002112.08   | 0.91%             | 2027-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                      | PRPM 2023-NQM3 Trust                                                                                                  | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257848 | PA      | $260431.33    | 0.03%             | 2068-11-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199501.36    | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1260286.24   | 0.14%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                                                           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.34%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PETRONAS ENERGY CANADA                                     | Petronas Energy Canada Ltd                                                                                            | CUSIP: 71675BAA8<br>LEI: 5493001PEB90YGTDC638 | Long             | DBT              | CORP              | CA        |   2400000 | PA      | $2305359.43   | 0.26%             | 2028-03-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                                | Post Road Equipment Finance 2025-1 LLC                                                                                | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105539 | PA      | $1114146.02   | 0.13%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                       | PRET 2025-RPL4 Trust                                                                                                  | CUSIP: 740943AA3<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   2936159 | PA      | $2874410.78   | 0.33%             | 2065-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                     | Rockford Tower CLO 2021-2 Ltd                                                                                         | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2300119.60   | 0.26%             | 2034-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                   | Rogers Communications Inc                                                                                             | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   3100000 | PA      | $3068863.23   | 0.35%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                                  | CUSIP: 78017DAE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   6000000 | PA      | $6008086.62   | 0.69%             | 2026-08-03      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                                  | CUSIP: 78017DAG3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1600000 | PA      | $1605558.67   | 0.18%             | 2028-03-27      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                                                                  | CUSIP: 78017FZR7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1400000 | PA      | $1403551.23   | 0.16%             | 2027-10-18      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                                            | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    474626 | NS      | $474625.62    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2022-C                                                                               | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   1506867 | PA      | $1503051.50   | 0.17%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-A                                                                               | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813228 | PA      | $790222.74    | 0.09%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2020-PT-A                                                                            | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1759853 | PA      | $1753943.65   | 0.20%             | 2054-09-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-E                                                                               | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656549 | PA      | $666741.94    | 0.08%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                         | STWD 2022-FL3 Ltd                                                                                                     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108773 | PA      | $108437.86    | 0.01%             | 2038-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                     | Sequoia Mortgage Trust 2004-6                                                                                         | CUSIP: 81744FCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2379 | PA      | $2207.77      | 0.00%             | 2034-07-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                   | South Bow USA Infrastructure Holdings LLC                                                                             | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2018293.92   | 0.23%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                     | Skandinaviska Enskilda Banken AB                                                                                      | CUSIP: 830505BA0<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2043000 | PA      | $2054569.49   | 0.23%             | 2027-03-05      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-A                                                                               | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784778 | PA      | $798128.52    | 0.09%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-A                                                                               | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3374545 | PA      | $3405624.76   | 0.39%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-C                                                                               | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1755842 | PA      | $1801522.74   | 0.21%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2023-C                                                                               | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3093884 | PA      | $3176613.81   | 0.36%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-D                                                                               | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2061530 | PA      | $2103260.34   | 0.24%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                           | SMB Private Education Loan Trust 2024-F                                                                               | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008759 | PA      | $1020942.82   | 0.12%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                           | SoFi Consumer Loan Program 2025-1 Trust                                                                               | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357881 | PA      | $1362839.52   | 0.16%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1482693.84   | 0.17%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1310109.18   | 0.15%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205505.04    | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                        | Southern California Edison Co                                                                                         | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2003560.94   | 0.23%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS                                    | Spectra Energy Partners LP                                                                                            | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1592772.78   | 0.18%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                              | Synchrony Card Funding LLC                                                                                            | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7300000 | PA      | $7361402.49   | 0.84%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| 37 Capital CLO Ltd                                         | 37 Capital Clo 1 Ltd                                                                                                  | CUSIP: 88430TAQ4<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3399918.40   | 0.39%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2018-5                                                                                      | CUSIP: 89176VAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   4947691 | PA      | $4819789.59   | 0.55%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-HY2                                                                                    | CUSIP: 89177HAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    388371 | PA      | $397229.78    | 0.05%             | 2058-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2019-4                                                                                      | CUSIP: 89178BAA2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1479708 | PA      | $1435662.99   | 0.16%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                  | Towd Point Mortgage Trust 2020-1                                                                                      | CUSIP: 89178WAU2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    751016 | PA      | $726734.42    | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                        | Toyota Auto Receivables 2023-C Owner Trust                                                                            | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2515090 | PA      | $2530002.45   | 0.29%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Toyota Lease Owner Trust                                   | Toyota Lease Owner Trust 2025-A                                                                                       | CUSIP: 89239NAD7<br>LEI: 254900299R9KF5UH9O95 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8076468.80   | 0.92%             | 2028-02-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Trillium Credit Card Trust II                              | Trillium Credit Card Trust II                                                                                         | CUSIP: 89621ACC1<br>LEI: 549300P7QN1SDIOQVL28 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4013184.80   | 0.46%             | 2030-09-26      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                           | Trinitas CLO VI Ltd                                                                                                   | CUSIP: 89640YBQ6<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4403040.40   | 0.50%             | 2034-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Tulane University                                          | TULANE LA UNIV                                                                                                        | CUSIP: 899062BQ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2820000 | PA      | $2631497.38   | 0.30%             | 2036-02-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                                                          | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1800000 | PA      | $1800680.26   | 0.21%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-2 A PTT                                    | United Airlines 2014-2 Class A Pass Through Trust                                                                     | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1068754 | PA      | $1067569.85   | 0.12%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7470485 | PA      | $7426738.96   | 0.85%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2263793 | PA      | $2242744.34   | 0.26%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                                 | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2915702 | PA      | $2977147.62   | 0.34%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                                                   | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29300000 | PA      | $29520894.46  | 3.37%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                                                   | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27900000 | PA      | $27800824.15  | 3.17%             | 2030-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                              | VW Credit Inc                                                                                                         | CUSIP: 91842KAD8<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |   4800000 | PA      | $4793247.98   | 0.55%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC                                       | BARCLAYS CAPITAL INC                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -640000 | NS      | $-640000.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| SWAP CCPC MORGAN STANLEY COC                               | SWAP CCPC MORGAN STANLEY COC                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    295000 | NS      | $295000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                            | Venture XXVII CLO Ltd                                                                                                 | CUSIP: 92331LBC3<br>LEI: 549300JZGSLL2771YV05 | Long             | ABS-CBDO         | CORP              | KY        |      4387 | PA      | $4387.66      | 0.00%             | 2030-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CCWFSXUS7 BMO HARRIS MGCC COC                              | CCWFSXUS7 BMO HARRIS MGCC COC                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   4491000 | NS      | $4491000.00   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2021-6                                                                                     | CUSIP: 92538MAA7<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1862703 | PA      | $1651364.66   | 0.19%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2024-1                                                                                     | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    955150 | PA      | $961157.46    | 0.11%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                     | VICI Properties LP / VICI Note Co Inc                                                                                 | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              |  | US        |   1100000 | PA      | $1101072.54   | 0.13%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                   | Volkswagen Group of America Finance LLC                                                                               | CUSIP: 928668CD2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3383000 | PA      | $3386188.75   | 0.39%             | 2026-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                   | Volkswagen Group of America Finance LLC                                                                               | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2823307.59   | 0.32%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                   | Volkswagen Group of America Finance LLC                                                                               | CUSIP: 928668CT7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200692.29    | 0.02%             | 2027-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                               | Vontier Corp                                                                                                          | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    900000 | PA      | $894250.91    | 0.10%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CCPC CCMSCHUS2 COC                                         | CCPC CCMSCHUS2 COC                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   4417000 | NS      | $4417000.00   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION PHARMACEUTICAL 4                             | CONSTELLATION PHARMACEUTICAL 4                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5773357 | PA      | $5942292.92   | 0.68%             | 2033-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                          | Wellfleet CLO 2021-2 Ltd                                                                                              | CUSIP: 95023AAL4<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |   4300000 | PA      | $4295063.60   | 0.49%             | 2034-07-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                            | Weyerhaeuser Co                                                                                                       | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |   1667000 | PA      | $1670399.03   | 0.19%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| County of Williamson TX                                    | WILLIAMSON CNTY TX                                                                                                    | CUSIP: 9698878H4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2134683.32   | 0.24%             | 2027-02-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| SWAP BNP PARIBAS BOC                                       | SWAP BNP PARIBAS BOC                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -570000 | NS      | $-570000.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| SWAP JP MORGAN BOC                                         | SWAP JP MORGAN BOC                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -1350000 | NS      | $-1350000.00  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAP SVCS BOC                                | MORGAN STANLEY CAP SVCS BOC                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -80000 | NS      | $-80000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU025TR4 IRS USD R V 12MSOFR SWUV25TR6 CCPOIS / Short: BWU025TR4 IRS USD P F  3.75000 SWU025TR4 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10300000 | OU      | $-134877.68   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02F093 IRS USD R V 12MSOFR SWUV2F095 CCPOIS / Short: BWU02F093 IRS USD P F  4.10000 SWU02F093 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  82200000 | OU      | $-27019.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SWU02K0M3 IRS GBP R F  3.75000 SWU02K0M3 CCPOIS / Short: SWU02K0M3 IRS GBP P V 12MSONIA SWUV2K0M5 CCPOIS        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  30500000 | OU      | $193667.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SWU02K0G6 IRS AUD R F  4.25000 SWU02K0G6 CCPVANILLA / Short: SWU02K0G6 IRS AUD P V 06MBBSW SWUV2K0G8 CCPVANILLA | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15700000 | OU      | $-465240.05   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BWU02L231 IRS USD R V 12MSOFR SWUV2L233 CCPOIS / Short: BWU02L231 IRS USD P F  3.75000 SWU02L231 CCPOIS         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   8100000 | OU      | $-72334.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | Long: SWPC0NUE4 CDS USD R V 03MEVENT FLO SOVEREIGN / Short: SWPC0NUE4 CDS USD P F  1.00000 FIX SOVEREIGN              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |   6000000 | OU      | $-214595.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | Long: SWPC44TD6 CDS EUR R F  5.00000 FIX ITRAXXTRANCHE / Short: SWPC44TD6 CDS EUR P V 03MEVENT FLO ITRAXXTRANCHE      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   6300000 | OU      | $1473499.49   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | Long: SWPC44DR2 CDS EUR R F  5.00000 FIX ITRAXXTRANCHE / Short: SWPC44DR2 CDS EUR P V 03MEVENT FLO ITRAXXTRANCHE      | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |   2800000 | OU      | $654888.66    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02MJL1 IRS USD R V 12MSOFR SWUV2MJL3 CCPOIS / Short: BWU02MJL1 IRS USD P F  3.29000 SWU02MJL1 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  80748200 | OU      | $360442.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BWU02MSY3 IRS USD R V 12MSOFR SWUV2MSY5 CCPOIS / Short: BWU02MSY3 IRS USD P F  3.37500 SWU02MSY3 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 107125100 | OU      | $127767.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDLEASE FINANCE LTD                                      | Lendlease Finance Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 5493002EE2IQRQ3JUP44 | Long             | DBT              | CORP              | AU        |   1000000 | PA      | $642117.53    | 0.07%             | 2027-10-27      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                           | Invesco Euro CLO I DAC                                                                                                | CUSIP: 000000000<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |    518415 | PA      | $607815.42    | 0.07%             | 2031-07-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                                  | Dryden 27 R Euro CLO 2017 DAC                                                                                         | CUSIP: 000000000<br>LEI: 635400RDG3EM9CGEVD60 | Long             | ABS-CBDO         | CORP              | IE        |    987493 | PA      | $1158430.38   | 0.13%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                                | Harvest CLO XXI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400UREZHY9PWJR290 | Long             | ABS-CBDO         | CORP              | IE        |   1032032 | PA      | $1198922.94   | 0.14%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Bain Capital Euro CLO                                      | Bain Capital Euro Clo 2018-2 DAC                                                                                      | CUSIP: 000000000<br>LEI: 635400CJJQJHYAMATG34 | Long             | ABS-CBDO         | CORP              | IE        |    877282 | PA      | $1030308.36   | 0.12%             | 2032-01-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                      | Carlyle Euro CLO 2021-2 DAC                                                                                           | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |    283775 | PA      | $333209.96    | 0.04%             | 2031-01-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                                           | Carlyle Euro CLO 2019-2 DAC                                                                                           | CUSIP: 000000000<br>LEI: 63540012YBWEYXRWOE16 | Long             | ABS-CBDO         | CORP              | IE        |   1730391 | PA      | $2033303.22   | 0.23%             | 2032-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Toro European CLO                                          | Toro European CLO 6 DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |   2358943 | PA      | $2768276.39   | 0.32%             | 2032-01-12      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI SYD                                        | Sumitomo Mitsui Banking Corp/Sydney                                                                                   | CUSIP: 000000000<br>LEI: 5U0XI89JRFVHWIBS4F54 | Long             | DBT              | CORP              | JP        |   2700000 | PA      | $1803088.36   | 0.21%             | 2026-02-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                     | Brazil Letras do Tesouro Nacional                                                                                     | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  59100000 | PA      | $10432215.09  | 1.19%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cars Alliance                                              | Cars Alliance Auto Loans Germany V 2024-1                                                                             | CUSIP: 000000000<br>LEI: 969500KJR887I60U6F15 | Long             | ABS-O            | CORP              | DE        |   3897345 | PA      | $4581598.07   | 0.52%             | 2036-01-18      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO                                         | Cumulus Static CLO 2024-1 DAC                                                                                         | CUSIP: 000000000<br>LEI: 2549005ZFHRHIZ9ONM43 | Long             | ABS-CBDO         | CORP              | IE        |   2282720 | PA      | $2684978.73   | 0.31%             | 2033-11-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| AlbaCore Euro CLO                                          | AlbaCore Euro CLO IV DAC                                                                                              | CUSIP: 000000000<br>LEI: 635400OMGYX1QQYCTI48 | Long             | ABS-CBDO         | CORP              | IE        |   1649857 | PA      | $1937992.99   | 0.22%             | 2035-07-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fact SA                                                    | FACT SA/LU                                                                                                            | CUSIP: 000000000<br>LEI: 529900S1VYMIDC5XAC48 | Long             | ABS-O            | CORP              | LU        |   3081198 | PA      | $3626998.36   | 0.41%             | 2031-09-22      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                                         | Hayfin Emerald CLO VI DAC                                                                                             | CUSIP: 000000000<br>LEI: 635400KMHFAB5ZUQED83 | Long             | ABS-CBDO         | CORP              | IE        |   2900000 | PA      | $3408403.74   | 0.39%             | 2038-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Barings Euro CLO                                           | Barings Euro CLO 2020-1 DAC                                                                                           | CUSIP: 000000000<br>LEI: 5493007R4SFFXIAHHB67 | Long             | ABS-CBDO         | CORP              | IE        |   3700000 | PA      | $4338465.12   | 0.49%             | 2038-10-21      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                                | Harvest CLO XVI DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400HU8ASOJYEX2I14 | Long             | ABS-CBDO         | CORP              | IE        |   3900000 | PA      | $4575085.51   | 0.52%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                         | Realkredit Danmark A/S                                                                                                | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  39700000 | PA      | $6176107.32   | 0.70%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DLR KREDIT A/S                                             | DLR Kredit A/S                                                                                                        | CUSIP: 000000000<br>LEI: 529900PR2ELW8QI1B775 | Long             | DBT              | CORP              | DK        |  16800000 | PA      | $2615906.16   | 0.30%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MV Credit Euro CLO                                         | MV Credit Euro CLO III DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400BDB6DLUVKYJO21 | Long             | ABS-CBDO         | CORP              | IE        |   4400000 | PA      | $5170859.27   | 0.59%             | 2038-02-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC27                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       355 | NC      | $-81972.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -143 | NC      | $108331.37    | 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        |       -93 | NC      | $91621.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1278 | NC      | $-240779.20   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      2613 | NC      | $824602.43    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -585 | NC      | $168813.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        19 | NC      | $2520.05      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                 | CAN 5YR BOND FUT MAR26                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       226 | NC      | $-112972.72   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 3YR BOND FUT MAR26                                                                                               | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       648 | NC      | $20550.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PSP CAPITAL INC                                            | PSP Capital Inc                                                                                                       | CUSIP: 000000000<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | NUSS              | CA        |   6500000 | PA      | $6507305.61   | 0.74%             | 2027-12-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                       | Enel Finance International NV                                                                                         | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2000000 | PA      | $1974638.10   | 0.23%             | 2026-07-12      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | 317UA35A8 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        | 361900000 | NC      | $3354.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | 317UADSA1 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        | 362700000 | NC      | $241130.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | 317UBAKA4 PIMCO                                                                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        | 225300000 | NC      | $59021.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                    | Nissan Motor Acceptance Co LLC                                                                                        | CUSIP: 000000000<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2439401.75   | 0.28%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-15

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP