# EDGAR Filing Document

**Accession Number:** 0000814679
**File Stem:** 0001752724-23-035925
**Filing Date:** 2023-2
**Character Count:** 1029083
**Document Hash:** a674d643bcae77ae958d4efdbb586b8d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035925.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035925

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVANCED SERIES TRUST
- **CENTRAL INDEX KEY:** 0000814679
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05186
- **FILM NUMBER:** 23657636

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 367-8982

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN SKANDIA TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON INTERNATIONAL GROWTH FUND
- **DATE OF NAME CHANGE:** 19920506

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON GLOBAL ASSET TRUST
- **DATE OF NAME CHANGE:** 19900302

## Series and Classes Contracts Data

### AST ADVANCED STRATEGIES PORTFOLIO (Series ID: S000006797)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000018405 | AST ADVANCED STRATEGIES PORTFOLIO |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-05186

- **c. CIK number of Registrant:** 0000814679

- **d. LEI of Registrant:** 549300VWSUPW8FKG9V43

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-888-778-2888

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

- **a. Name of Series:** AST Advanced Strategies Portfolio

- **b. EDGAR series identifier (if any):** S000006797

- **c. LEI of Series:** NPOWQJ8X1XVWUZXY4I44

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6933268234.73

**Total Liabilities:** $1096848448.52

**Net Assets:** $5836419786.21

**Delayed Delivery Securities:** $418619472.06

**Stand-by Commitments:** $244731892.60

**Cash Not Reported:** $48189629.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 11317.74618000 | **1-Year:** 53694.01814000 | **5-Year:** 213823.96875000 | **10-Year:** 159088.79403000 | **30-Year:** 39787.97911000

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

- **3-Month:** 97.84450000 | **1-Year:** 10390.70384000 | **5-Year:** 43095.94067000 | **10-Year:** 24793.72773000 | **30-Year:** 1871.37757000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018405 | 4.62%                | 5.67%                | -3.20%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-26293092.67            | $228025007.80                              |
| Month 2  | $-16459716.41            | $295755566.71                              |
| Month 3  | $4664004.44              | $-166773223.30                             |

**Designated Index Information**

- **Index Name:** Blended Custom Benchmark

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    1799712 | PA      | $196247.84    | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $351892.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-37599.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                             | United Kingdom Inflation-Linked Gilt                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    5350337 | PA      | $6840086.90   | 0.12%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                             | Sherwin-Williams Co/The                                                                                                | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |      27992 | NS      | $6643341.36   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF GHANA                                   | Ghana Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    2800000 | PA      | $1008000.00   | 0.02%             | 2029-05-16      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                      | Structured Adjustable Rate Mortgage Loan Trust                                                                         | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32227 | PA      | $29953.07     | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3217.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         10 | NC      | $27014.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINICAN REPUBLIC                                  | Dominican Republic International Bond                                                                                  | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1000000 | PA      | $730812.50    | 0.01%             | 2060-01-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS MXN                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-133769.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TC Energy Corp                                      | TC Energy Corp                                                                                                         | CUSIP: 87807B107<br>LEI: 549300UGKOFV2IWJJG27 | Long             | EC               | CORP              | CA        |     371188 | NS      | $14795553.68  | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4464.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                      | Structured Asset Mortgage Investments II Trust 2005-AR5                                                                | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32461 | PA      | $29998.52     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2685.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                 | United Airlines Inc                                                                                                    | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     565000 | PA      | $526226.56    | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| NS Solutions Corp                                   | NS Solutions Corp                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      42200 | NS      | $1022289.74   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                  | USD/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6327.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-76588.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                             | Canadian Government Real Return Bond                                                                                   | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2101440 | PA      | $1709802.36   | 0.03%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-180835.48   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-76                                                                                         | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6789 | PA      | $6021.13      | 0.00%             | 2036-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Valmet Oyj                                          | Valmet Oyj                                                                                                             | CUSIP: 000000000<br>LEI: 213800D9O7FUQDH83V62 | Long             | EC               | CORP              | FI        |      91800 | NS      | $2478113.08   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     734514 | PA      | $713584.78    | 0.01%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2006-A1                                                                                       | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11918 | PA      | $8792.15      | 0.00%             | 2036-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO LLC                              | ISHARES RUSSELL 2000 ETF                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |         80 | NC      | $1932781.92   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS CDX.NA.IG.39.V1                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $247554.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Stock Exchange Group PL                      | London Stock Exchange Group PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800QAUUUP6I445N30 | Long             | EC               | CORP              | GB        |      81317 | NS      | $6986854.09   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                      | Option One Mortgage Loan Trust 2006-1                                                                                  | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1585369.08   | 0.03%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    8300000 | OU      | $6738.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe BIC SA                                      | Societe BIC SA                                                                                                         | CUSIP: 000000000<br>LEI: 969500UR00DF63I0VH67 | Long             | EC               | CORP              | FR        |      29900 | NS      | $2046742.80   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | BRL/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8535.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                 | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1900000 | PA      | $1229300.00   | 0.02%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                  | Realty Income Corp                                                                                                     | CUSIP: 756109104<br>LEI: 549300CUWDAUZSH43859 | Long             | EC               | CORP              | US        |      17159 | NS      | $1088395.37   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS MEHCO                                                                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-1428.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Leroy Seafood Group ASA                             | Leroy Seafood Group ASA                                                                                                | CUSIP: 000000000<br>LEI: 5967007LIEEXZXJ2JK50 | Long             | EC               | CORP              | NO        |     152100 | NS      | $852233.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                        | Saxon Asset Securities Trust 2005-1                                                                                    | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     396116 | PA      | $367830.47    | 0.01%             | 2035-05-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Signify NV                                          | Signify NV                                                                                                             | CUSIP: 000000000<br>LEI: 549300072P3J1X8NZO35 | Long             | EC               | CORP              | NL        |      77700 | NS      | $2615580.24   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |    -500000 | OU      | $-2475.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equinix Inc                                         | Equinix Inc                                                                                                            | CUSIP: 29444U700<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | EC               | CORP              | US        |      19064 | NS      | $12487491.92  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Wellfleet CLO Ltd                                   | Wellfleet Clo 2019-1 Ltd                                                                                               | CUSIP: 94950NAN2<br>LEI: 254900IGQ7EODCWHCM84 | Long             | ABS-CBDO         | CORP              | KY        |    4025000 | PA      | $3914231.60   | 0.07%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                          | US Bancorp                                                                                                             | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     229739 | NS      | $10018917.79  | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co                                    | Wells Fargo & Co                                                                                                       | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |     612634 | NS      | $25295657.86  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Stericycle Inc                                      | Stericycle Inc                                                                                                         | CUSIP: 858912108<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | EC               | CORP              | US        |      36117 | NS      | $1801877.13   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                        | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $576.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                   | NatWest Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | EC               | CORP              | GB        |     968655 | NS      | $3089263.05   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Grou                      | Sumitomo Mitsui Financial Group Inc                                                                                    | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | EC               | CORP              | JP        |      78900 | NS      | $3174339.33   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Electrolux AB                                       | Electrolux AB                                                                                                          | CUSIP: 000000000<br>LEI: 549300Y3HHZB1ZGFPJ93 | Long             | EC               | CORP              | SE        |     113400 | NS      | $1532138.82   | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                                                          | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15170 | PA      | $13939.46     | 0.00%             | 2046-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4191736.82  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17920000 | OU      | $-17480.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WH Group Ltd                                        | WH Group Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 254900A4AYEDRWYSE928 | Long             | EC               | CORP              | HK        |    4822000 | NS      | $2812374.84   | 0.05%             |  |  |  | Yes           |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7372194 | PA      | $4970435.74   | 0.09%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                                 | Affirm Holdings Inc                                                                                                    | CUSIP: 00827B106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      41544 | NS      | $401730.48    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| BNP PARIBAS                                         | TRS IBOXIG INDEX                                                                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |          1 | NC      | $18258.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Xinyi Glass Holdings Ltd                            | Xinyi Glass Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 52990082YXVVZFK1QJ17 | Long             | EC               | CORP              | HK        |    1239000 | NS      | $2289145.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                      | Merrill Lynch Mortgage Investors Trust Series 2007-HE2                                                                 | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8972 | PA      | $2674.10      | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8239.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ipsen SA                                            | Ipsen SA                                                                                                               | CUSIP: 000000000<br>LEI: 549300M6SGDPB4Z94P11 | Long             | EC               | CORP              | FR        |      23900 | NS      | $2570698.91   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-1029.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                   | Wellfleet CLO 2017-3 Ltd                                                                                               | CUSIP: 94950HAA3<br>LEI: 254900TEETF3L54VTH19 | Long             | ABS-CBDO         | CORP              | KY        |    3750000 | PA      | $3677933.63   | 0.06%             | 2031-01-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ASR Nederland NV                                    | ASR Nederland NV                                                                                                       | CUSIP: 000000000<br>LEI: 7245000G0HS48PZWUD53 | Long             | EC               | CORP              | NL        |      49600 | NS      | $2356695.99   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                            | Great Hall Mortgages No 1 PLC                                                                                          | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |      17989 | PA      | $21438.99     | 0.00%             | 2039-03-18      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-490.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pas                      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust                                         | CUSIP: 93934FKL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850057 | PA      | $631357.75    | 0.01%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2264778 | PA      | $2172331.28   | 0.04%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust                                                          | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98943 | PA      | $86072.40     | 0.00%             | 2036-03-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Sanofi                                              | Sanofi                                                                                                                 | CUSIP: 000000000<br>LEI: 549300E9PC51EN656011 | Long             | EC               | CORP              | FR        |      72200 | NS      | $6961999.56   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                     | Lehman XS Trust Series 2007-12N                                                                                        | CUSIP: 52524YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710475 | PA      | $633142.09    | 0.01%             | 2037-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $950.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Danone SA                                           | Danone SA                                                                                                              | CUSIP: 000000000<br>LEI: 969500KMUQ2B6CBAF162 | Long             | EC               | CORP              | FR        |      29300 | NS      | $1544277.94   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $18861.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                         | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-FM1                                                     | CUSIP: 65536HBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2812389.60   | 0.05%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                      | Transocean Inc                                                                                                         | CUSIP: 893830BL2<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |     100000 | PA      | $81175.00     | 0.00%             | 2027-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                 | United Airlines Inc                                                                                                    | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     140000 | PA      | $122179.89    | 0.00%             | 2029-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp                                 | American Tower Corp                                                                                                    | CUSIP: 03027X100<br>LEI: 5493006ORUSIL88JOE18 | Long             | EC               | CORP              | US        |      42892 | NS      | $9087099.12   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $19868.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group                      | Mitsubishi UFJ Financial Group Inc                                                                                     | CUSIP: 000000000<br>LEI: 353800V2V8PUY9TK3E06 | Long             | EC               | CORP              | JP        |     402800 | NS      | $2704164.18   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Arista Networks Inc                                 | Arista Networks Inc                                                                                                    | CUSIP: 040413106<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |      39888 | NS      | $4840408.80   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Soundview Home Equity Loan Tru                      | Soundview Home Loan Trust 2006-NLC1                                                                                    | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20327 | PA      | $5727.83      | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7226940.22  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | TWD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-76916.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -7 | NC      | $-20330.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | S&P 500 INDEX                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |        240 | NC      | $11445219.47  | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3120000 | PA      | $3087387.86   | 0.05%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2020-2                                                                                       | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1327290 | PA      | $1167520.86   | 0.02%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                       | Sempra Energy                                                                                                          | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     113425 | NS      | $17528699.50  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NY HARBOR ULSD                                                                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-6935.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2100000 | OU      | $-2.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2622.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Linde PLC                                           | Linde PLC                                                                                                              | CUSIP: 000000000<br>LEI: 8945002PAZHZLBGKGF02 | Long             | EC               | CORP              | GB        |      28758 | NS      | $9380284.44   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1981.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Global Payments Inc                                 | Global Payments Inc                                                                                                    | CUSIP: 37940X102<br>LEI: 549300NOMHGVQBX6S778 | Long             | EC               | CORP              | US        |      42451 | NS      | $4216233.32   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Rockford Tower CLO Ltd                              | Rockford Tower CLO 2021-3 Ltd                                                                                          | CUSIP: 77341NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $3886656.50   | 0.07%             | 2034-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                    | Allied Universal Holdco LLC / Allied Universal Finance Corp                                                            | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     585000 | PA      | $536462.09    | 0.01%             | 2026-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                               | Mexico Government International Bond                                                                                   | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $124600.00    | 0.00%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS CAL22                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-615.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRIFFON CORPORATION                                 | Griffon Corp                                                                                                           | CUSIP: 398433AP7<br>LEI: 5493000C2SGNC7ZN3242 | Long             | DBT              | CORP              | US        |     750000 | PA      | $685861.27    | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1386165.81  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                      | NRG Energy Inc                                                                                                         | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     550000 | PA      | $516714.11    | 0.01%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1900000 | PA      | $439858.19    | 0.01%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-411522.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15275.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -27 | NC      | $-54540.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS CAL22                                                                                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-615.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1316479.31  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2007-A1                                                                                       | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4061 | PA      | $3825.33      | 0.00%             | 2035-07-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKEY                                  | Turkey Government International Bond                                                                                   | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1900000 | PA      | $1288793.75   | 0.02%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Cisco Systems Inc                                   | Cisco Systems Inc                                                                                                      | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |     112915 | NS      | $5379270.60   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF NIGERIA                                 | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1000000 | PA      | $816250.00    | 0.01%             | 2031-01-21      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                               | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    4500000 | PA      | $705804.33    | 0.01%             | 2051-04-12      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| AGC Inc                                             | AGC Inc                                                                                                                | CUSIP: 000000000<br>LEI: JE4WFFEELMVPFZ0G1E77 | Long             | EC               | CORP              | JP        |      60100 | NS      | $1994462.94   | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| JP Morgan Mortgage Acquisition                      | JP Morgan Mortgage Acquisition Trust 2006-CH2                                                                          | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27956 | PA      | $27431.21     | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-652293.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $47459.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                 | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $143136.00    | 0.00%             | N/A             | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Zurich Insurance Group AG                           | Zurich Insurance Group AG                                                                                              | CUSIP: 000000000<br>LEI: 529900QVNRBND50TXP03 | Long             | EC               | CORP              | CH        |      23160 | NS      | $11072271.23  | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | CDS REPUBLIC OF KOREA                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $-23977.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6858152 | PA      | $7393791.83   | 0.13%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                            | OZLM XX Ltd                                                                                                            | CUSIP: 67112MAA3<br>LEI: 549300ROA1URR67W0G46 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2928325.50   | 0.05%             | 2031-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Rio Tinto Ltd                                       | Rio Tinto Ltd                                                                                                          | CUSIP: 000000000<br>LEI: 529900X2VMAQT2PE0V24 | Long             | EC               | CORP              | AU        |      34300 | NS      | $2707147.63   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Zinc                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-16349.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | PLN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $154113.94    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Hope Corp Ltd                                   | New Hope Corp Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 254900DHRUGXZSLSNZ83 | Long             | EC               | CORP              | AU        |     559400 | NS      | $2402439.38   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERALITAT DE CATALUNYA                            | Autonomous Community of Catalonia                                                                                      | CUSIP: 000000000<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |     400000 | PA      | $412401.57    | 0.01%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                    | Crown Castle Inc                                                                                                       | CUSIP: 22822V101<br>LEI: 54930012H97VSM0I2R19 | Long             | EC               | CORP              | US        |       6887 | NS      | $934152.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MARVELL TECHNOLOGY INC                              | Marvell Technology Inc                                                                                                 | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $796241.40    | 0.01%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| Rheinmetall AG                                      | Rheinmetall AG                                                                                                         | CUSIP: 000000000<br>LEI: 5299001OU9CSE29O6S05 | Long             | EC               | CORP              | DE        |      12430 | NS      | $2474517.73   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Air New Zealand Ltd                                 | Air New Zealand Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 2549005EEIR2FNT5R792 | Long             | EC               | CORP              | NZ        |    3582500 | NS      | $1688960.79   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX NY Harbor ULSD                                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $3112.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Endex                                           | Carbon Emissions                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | NL        |          5 | NC      | $8616.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Barratt Developments PLC                            | Barratt Developments PLC                                                                                               | CUSIP: 000000000<br>LEI: 2138006R85VEOF5YNK29 | Long             | EC               | CORP              | GB        |     231000 | NS      | $1103324.54   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17772670 | PA      | $16699572.91  | 0.29%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                           | Hess Corp                                                                                                              | CUSIP: 42809H107<br>LEI: UASVRYNXNK17ULIGK870 | Long             | EC               | CORP              | US        |      20757 | NS      | $2943757.74   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   15310000 | OU      | $4441.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $857.94       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                                                        | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3167391 | PA      | $1405817.82   | 0.02%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings Inc                                 | Nomura Holdings Inc                                                                                                    | CUSIP: 000000000<br>LEI: 549300B3CEAHYG7K8164 | Long             | EC               | CORP              | JP        |     587400 | NS      | $2176596.77   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $232.94       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1900000 | OU      | $-27593.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2004-12                                                                                | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3216 | PA      | $3186.19      | 0.00%             | 2034-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                            | Lima Metro Line 2 Finance Ltd                                                                                          | CUSIP: 532522AA7<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |    3406353 | PA      | $3299478.83   | 0.06%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-2027.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13153 | PA      | $12489.04     | 0.00%             | 2044-03-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |   -1900000 | OU      | $-2.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1189232.14   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Aviation Electronics Ind                      | Japan Aviation Electronics Industry Ltd                                                                                | CUSIP: 000000000<br>LEI: 353800OSHAMOO6TCTF61 | Long             | EC               | CORP              | JP        |     125000 | NS      | $1993991.89   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Hoya Corp                                           | Hoya Corp                                                                                                              | CUSIP: 000000000<br>LEI: 353800X4VR3BHEUCJB42 | Long             | EC               | CORP              | JP        |      50700 | NS      | $4855974.23   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Nishi-Nippon Financial Holding                      | Nishi-Nippon Financial Holdings Inc                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     215000 | NS      | $1571170.70   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8995152 | PA      | $9489049.32   | 0.16%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $6020487.72   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                            | Sabine Pass Liquefaction LLC                                                                                           | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3727779.06   | 0.06%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $687.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/CLP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $26387.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Techtronic Industries Co Ltd                        | Techtronic Industries Co Ltd                                                                                           | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |     105500 | NS      | $1171772.13   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Unipol Gruppo SpA                                   | Unipol Gruppo SpA                                                                                                      | CUSIP: 000000000<br>LEI: 8156005CE5E7340CCA86 | Long             | EC               | CORP              | IT        |     409000 | NS      | $1991339.41   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd                             | Reliance Industries Ltd                                                                                                | CUSIP: 000000000<br>LEI: 5493003UOETFYRONLG31 | Long             | EC               | CORP              | IN        |     394709 | NS      | $12117808.54  | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       8620 | PA      | $1097.71      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                       | DROP Mortgage Trust 2021-FILE                                                                                          | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1618948.42   | 0.03%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| iShares S&P Small-Cap 600 Value ETF                 | iShares S&P Small-Cap 600 Value ETF                                                                                    | CUSIP: 464287879<br>LEI: 549300XRN6BYGRPV6Y61 | Long             | EC               | RF                | US        |      25874 | NS      | $2362554.94   | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| GOLDMAN SACHS & CO. LLC                             | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20804.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Taylor Wimpey PLC                                   | Taylor Wimpey PLC                                                                                                      | CUSIP: 000000000<br>LEI: 21380089BTRXTD8S3R66 | Long             | EC               | CORP              | GB        |    1112300 | NS      | $1362232.69   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                             | Bayer US Finance II LLC                                                                                                | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $282226.47    | 0.00%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NATURAL GAS                                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -3 | NC      | $-13131.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                                                         | CUSIP: 93363EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20038 | PA      | $17989.02     | 0.00%             | 2036-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                        | Stryker Corp                                                                                                           | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |      38995 | NS      | $9533887.55   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-324833.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                 | Newgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     654901 | PA      | $736934.68    | 0.01%             | 2050-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1217774.23   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ASML Holding NV                                     | ASML Holding NV                                                                                                        | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      14942 | NS      | $8147157.04   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                 | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     416000 | PA      | $264628.00    | 0.00%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $286233.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | COMEX Gold 100 Troy Ounces                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          6 | NC      | $69226.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                              | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    2000000 | PA      | $1790000.00   | 0.03%             | 2027-01-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -17 | NC      | $-37841.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12901863 | PA      | $11543198.64  | 0.20%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140QBZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868024 | PA      | $1653544.23   | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17920000 | OU      | $-49195.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO LLC                              | US CPI URBAN CONSUMERS NSA                                                                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   -2000000 | NC      | $-55381.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $4636.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3833115 | PA      | $3692811.64   | 0.06%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $6384.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CZK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-275319.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Julius Baer Group Ltd                               | Julius Baer Group Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 5299007MF0604ZGJER92 | Long             | EC               | CORP              | CH        |      50500 | NS      | $2939156.69   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $87126.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-145987.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $3763.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie Inc                                          | AbbVie Inc                                                                                                             | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |      78384 | NS      | $12667638.24  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                            | Lloyds Banking Group PLC                                                                                               | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $204099.23    | 0.00%             | N/A             | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| YUE YUEN IND                                        | Yue Yuen Industrial Holdings Ltd                                                                                       | CUSIP: 000000000<br>LEI: 254900YUFIBANZ1XU687 | Long             | EC               | CORP              | HK        |    1055500 | NS      | $1477141.52   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Evolution AB                                        | Evolution AB                                                                                                           | CUSIP: 000000000<br>LEI: 549300SUH6ZR1RF6TA88 | Long             | EC               | CORP              | SE        |      65163 | NS      | $6347165.88   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                      | Structured Asset Mortgage Investments II Trust 2007-AR4                                                                | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210011 | PA      | $168958.25    | 0.00%             | 2047-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Eaton Corp PLC                                      | Eaton Corp PLC                                                                                                         | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | US        |      10352 | NS      | $1624746.40   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $3646207.25   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1706.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Reach PLC                                           | Reach PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800GNI5XF3XOATR61 | Long             | EC               | CORP              | GB        |     132014 | NS      | $151996.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                            | Great Hall Mortgages No 1 PLC                                                                                          | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |       9270 | PA      | $11063.13     | 0.00%             | 2038-06-18      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $134755.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Advanced Micro Devices Inc                          | Advanced Micro Devices Inc                                                                                             | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |      35560 | NS      | $2303221.20   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYER US FINANCE II LLC                             | Bayer US Finance II LLC                                                                                                | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     500000 | PA      | $485547.85    | 0.01%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ventas Inc                                          | Ventas Inc                                                                                                             | CUSIP: 92276F100<br>LEI: ORQTRC074CWLT3DKHT41 | Long             | EC               | CORP              | US        |      78458 | NS      | $3534532.90   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-21CB                                                                                       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3769 | PA      | $2913.43      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Neste Oyj                                           | Neste Oyj                                                                                                              | CUSIP: 000000000<br>LEI: 5493009GY1X8GQ66AM14 | Long             | EC               | CORP              | FI        |     130472 | NS      | $6016975.76   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638CY6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4100000 | PA      | $1129383.02   | 0.02%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    8300000 | PA      | $2002039.57   | 0.03%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15131024 | PA      | $15756461.74  | 0.27%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                            | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2000000 | PA      | $1465000.00   | 0.03%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Harvey Norman Holdings Ltd                          | Harvey Norman Holdings Ltd                                                                                             | CUSIP: 000000000<br>LEI: 529900ONRWOF42PYKU59 | Long             | EC               | CORP              | AU        |     846200 | NS      | $2371051.86   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7464.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLIS FINCO PLC                                    | Bellis Finco PLC                                                                                                       | CUSIP: 000000000<br>LEI: 259400ELWH6Z4ICFTD70 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1055529.41   | 0.02%             | 2027-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                              | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                  | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $188671.09    | 0.00%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | ZAR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $67757.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-400872.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Daiwa House Industry Co Ltd                         | Daiwa House Industry Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      70000 | NS      | $1612538.14   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TransUnion                                          | TransUnion                                                                                                             | CUSIP: 89400J107<br>LEI: 549300ZS772LUNUMRB03 | Long             | EC               | CORP              | US        |      33925 | NS      | $1925243.75   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85623.61     | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                  | Howard Hughes Corp/The                                                                                                 | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     610000 | PA      | $549226.34    | 0.01%             | 2028-08-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-507106.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | ZCS IRS BRL                                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $474311.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                        | CSMC Series 2010-18R                                                                                                   | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104358 | PA      | $100449.43    | 0.00%             | 2038-04-26      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                      | Soundview Home Loan Trust 2007-OPT1                                                                                    | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2841101 | PA      | $2015889.29   | 0.03%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                      | Soundview Home Loan Trust 2005-OPT2                                                                                    | CUSIP: 83611MGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1902738.64   | 0.03%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health Inc                            | Elanco Animal Health Inc                                                                                               | CUSIP: 28414H103<br>LEI: 549300SHPNDCE059M934 | Long             | EC               | CORP              | US        |     447642 | NS      | $5470185.24   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                      | IndyMac INDX Mortgage Loan Trust 2004-AR10                                                                             | CUSIP: 45660N2W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272264 | PA      | $238487.54    | 0.00%             | 2034-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                 | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $790000.00    | 0.01%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Trade Desk Inc/The                                  | Trade Desk Inc/The                                                                                                     | CUSIP: 88339J105<br>LEI: 549300GXPD31VT3E0P46 | Long             | EC               | CORP              | US        |      27512 | NS      | $1233362.96   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Nordea Bank Abp                                     | Nordea Bank Abp                                                                                                        | CUSIP: 000000000<br>LEI: 529900ODI3047E2LIV03 | Long             | EC               | CORP              | FI        |     218300 | NS      | $2338419.97   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UDR Inc                                             | UDR Inc                                                                                                                | CUSIP: 902653104<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | EC               | CORP              | US        |      74570 | NS      | $2888096.10   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13776.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $763943.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Coupang Inc                                         | Coupang Inc                                                                                                            | CUSIP: 22266T109<br>LEI: 549300XR4L1D80AK4W76 | Long             | EC               | CORP              | KR        |     127859 | NS      | $1880805.89   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |    -600000 | OU      | $3060.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                            | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     700000 | PA      | $629125.00    | 0.01%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KSA SUKUK LTD                                       | KSA Sukuk Ltd                                                                                                          | CUSIP: 48266XAF2<br>LEI: 635400XBJFPNCGN9CK71 | Long             | DBT              | NUSS              | KY        |     700000 | PA      | $728280.00    | 0.01%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                             | Nissan Motor Acceptance Co LLC                                                                                         | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     500000 | PA      | $393194.14    | 0.01%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                            | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1285297.45   | 0.02%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     300000 | PA      | $271951.88    | 0.00%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Entergy Corp                                        | Entergy Corp                                                                                                           | CUSIP: 29364G103<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | EC               | CORP              | US        |      34003 | NS      | $3825337.50   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-324864.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | THB/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-23426.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17470000 | OU      | $-21925.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   17800000 | OU      | $0.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13282.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                            | Banco Bilbao Vizcaya Argentaria SA                                                                                     | CUSIP: 000000000<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $410449.32    | 0.01%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Investec PLC                                        | Investec PLC                                                                                                           | CUSIP: 000000000<br>LEI: 2138007Z3U5GWDN3MY22 | Long             | EC               | CORP              | ZA        |     263400 | NS      | $1610235.23   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Adyen NV                                            | Adyen NV                                                                                                               | CUSIP: 000000000<br>LEI: 724500973ODKK3IFQ447 | Long             | EC               | CORP              | NL        |       4405 | NS      | $6115240.70   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2005-AR3                                                                                       | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75615 | PA      | $62828.21     | 0.00%             | 2035-05-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | SOYBEAN MEAL                                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          6 | NC      | $8549.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi HC Capital Inc                           | Mitsubishi HC Capital Inc                                                                                              | CUSIP: 000000000<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | EC               | CORP              | JP        |     440900 | NS      | $2168588.98   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | TRS EURMARG3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |          1 | NC      | $-2226.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST                               | Rio Oil Finance Trust Series 2014-1                                                                                    | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     978227 | PA      | $991926.82    | 0.02%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                  | USD/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-66948.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                       | Resloc UK 2007-1 PLC                                                                                                   | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |     433781 | PA      | $486485.97    | 0.01%             | 2043-12-15      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1872112.59   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   13230000 | OU      | $2309.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1001902 | PA      | $1208024.47   | 0.02%             | 2054-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Daiichi Sankyo Co Ltd                               | Daiichi Sankyo Co Ltd                                                                                                  | CUSIP: 23381D102<br>LEI: 353800XGIU2IHQGC9504 | Long             | EC               | CORP              | JP        |      63193 | NS      | $2034182.67   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Ross Stores Inc                                     | Ross Stores Inc                                                                                                        | CUSIP: 778296103<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | EC               | CORP              | US        |      78678 | NS      | $9132155.46   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Adjustable Rate Mortgage Trust                      | Adjustable Rate Mortgage Trust 2005-5                                                                                  | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25550 | PA      | $21453.52     | 0.00%             | 2035-09-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                          | Zoetis Inc                                                                                                             | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |      27559 | NS      | $4038771.45   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3702.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16261.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netflix Inc                                         | Netflix Inc                                                                                                            | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |      16763 | NS      | $4943073.44   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1600000 | OU      | $-9303.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                         | Oracle Corp                                                                                                            | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     300000 | PA      | $248889.61    | 0.00%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                 | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1000000 | PA      | $750000.00    | 0.01%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Boliden AB                                          | Boliden AB                                                                                                             | CUSIP: 000000000<br>LEI: 21380059QU7IM1ONDJ56 | Long             | EC               | CORP              | SE        |      75000 | NS      | $2817164.79   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | CDS CMBX.NA.AAA.8                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $837.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/CLP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-17779.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Partners Group Holding AG                           | Partners Group Holding AG                                                                                              | CUSIP: 000000000<br>LEI: 549300I3IVVWZWDHI788 | Long             | EC               | CORP              | CH        |       5343 | NS      | $4731140.01   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $230020.69    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                             | GSK Consumer Healthcare Capital UK PLC                                                                                 | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $856818.36    | 0.01%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $197531.49    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                             | Bayer US Finance II LLC                                                                                                | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     700000 | PA      | $700036.34    | 0.01%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                      | SMB Private Education Loan Trust 2022-B                                                                                | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1451194 | PA      | $1406358.41   | 0.02%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                             | Becton Dickinson and Co                                                                                                | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |     112660 | NS      | $28649438.00  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |          1 | NC      | $16905.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                             | CUSIP: 60687YAU3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1696398.38   | 0.03%             | 2024-09-11      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Sun Communities Inc                                 | Sun Communities Inc                                                                                                    | CUSIP: 866674104<br>LEI: 549300H5GEOJYN41ZG57 | Long             | EC               | CORP              | US        |      36373 | NS      | $5201339.00   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                            | USD/PHP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-57818.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2020-1                                                                                       | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1142711 | PA      | $1047181.72   | 0.02%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp                               | Monster Beverage Corp                                                                                                  | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |      43730 | NS      | $4439906.90   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8645013 | PA      | $9135794.42   | 0.16%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Soybean                                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         19 | NC      | $65370.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC BANK PLC                                       | ZAR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14458.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                      | NRG Energy Inc                                                                                                         | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $899026.76    | 0.02%             | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11961.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH LIMITED                                         | IRS AUD                                                                                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $169077.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-479319.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Medtronic PLC                                       | Medtronic PLC                                                                                                          | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |     176157 | NS      | $13690922.04  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | Euro-BTP Italian Bond                                                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -98 | NC      | $844293.37    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-18112.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | COP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1398.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -11683139 | PA      | $-11009086.25 | -0.19%            | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                     | MEG Energy Corp                                                                                                        | CUSIP: 552704AE8<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $254687.50    | 0.00%             | 2027-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Bluemountain CLO Ltd                                | BlueMountain CLO 2016-2 Ltd                                                                                            | CUSIP: 09628WAW2<br>LEI: 549300O2Y407FNHQWX93 | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7361028.75   | 0.13%             | 2032-08-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Origin Enterprises PLC                              | Origin Enterprises PLC                                                                                                 | CUSIP: 000000000<br>LEI: 213800AIB4U7N5BLS350 | Long             | EC               | CORP              | IE        |     206800 | NS      | $957715.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1700000 | PA      | $1439074.33   | 0.02%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS GENERAL ELECTRIC COMPANY SNR                                                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $11971.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                | Verisk Analytics Inc                                                                                                   | CUSIP: 92345Y106<br>LEI: 549300I1YSWNIRKBWP67 | Long             | EC               | CORP              | US        |      38732 | NS      | $6833099.44   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS AUD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-28917.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | US ULTRA TREASURY BOND                                                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -102 | NC      | $362207.95    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ECUADOR                                 | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     748000 | PA      | $302846.50    | 0.01%             | 2040-07-31      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                    | ABN AMRO Bank NV                                                                                                       | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | EC               | CORP              | NL        |     129900 | NS      | $1798851.94   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $5869.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-4                                                                                        | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84103 | PA      | $55244.53     | 0.00%             | 2036-08-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                              | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    2700000 | PA      | $1987022.81   | 0.03%             | 2030-04-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | TRS IBOXIG INDEX                                                                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |          1 | NC      | $222145.27    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, Ltd.                          | Sixth Street CLO XVI Ltd                                                                                               | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-CBDO         | CORP              | KY        |    9750000 | PA      | $9670685.70   | 0.17%             | 2032-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-671644.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-40315.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2841280.14  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $65.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL MAKAM BILL                                   | Bank of Israel Bill - Makam                                                                                            | CUSIP: 000000000<br>LEI: M8LYVLF5DOB9X0LZOW72 | Long             | DBT              | NUSS              | IL        |    8200000 | PA      | $2302699.78   | 0.04%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Rengo Co Ltd                                        | Rengo Co Ltd                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     195300 | NS      | $1340232.99   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140X6S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474676 | PA      | $436372.48    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alfresa Holdings Corp                               | Alfresa Holdings Corp                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      68500 | NS      | $870723.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37200000 | PA      | $35794480.96  | 0.61%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CHF                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-155353.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Austal Ltd                                          | Austal Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 254900DJEFGICBICBU73 | Long             | EC               | CORP              | AU        |     716900 | NS      | $1015388.48   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE WTI Crude Oil s Contract                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -17 | NC      | $-49267.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | Eurex 2 Year Euro SCHATZ                                                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        312 | NC      | $-467275.96   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | KCBT Hard Red Winter Wheat                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-4254.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        853 | PA      | $109.60       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANZ Group Holdings Ltd                              | ANZ Group Holdings Ltd                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |      88746 | NS      | $1429601.42   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphenol Corp                                       | Amphenol Corp                                                                                                          | CUSIP: 032095101<br>LEI: 549300D3L3G0R4U4VT04 | Long             | EC               | CORP              | US        |      99514 | NS      | $7576995.96   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                | Paraguay Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1400000 | PA      | $1351262.50   | 0.02%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                        | Calpine Corp                                                                                                           | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     925000 | PA      | $779224.13    | 0.01%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                               | American Airlines 2015-1 Class A Pass Through Trust                                                                    | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     760346 | PA      | $633910.68    | 0.01%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | CDS REPUBLIC OF TURKEY                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-37870.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/CAD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-17315.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sopra Steria Group SACA                             | Sopra Steria Group SACA                                                                                                | CUSIP: 000000000<br>LEI: 96950020QIOHAAK9V551 | Long             | EC               | CORP              | FR        |      13500 | NS      | $2043943.28   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-283442.44   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                      | Banc of America Mortgage 2005-H Trust                                                                                  | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67024 | PA      | $56846.60     | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| GREYSTAR REAL ESTATE PAR                            | Greystar Real Estate Partners LLC                                                                                      | CUSIP: 39807UAB2<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $879490.31    | 0.02%             | 2025-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Inc                          | Mizuho Financial Group Inc                                                                                             | CUSIP: 000000000<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | EC               | CORP              | JP        |     171050 | NS      | $2409802.76   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30121680 | PA      | $29162406.91  | 0.50%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2006-AMC1                                                                                | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     411129 | PA      | $389429.84    | 0.01%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| B3 SA - Brasil Bolsa Balcao                         | B3 SA - Brasil Bolsa Balcao                                                                                            | CUSIP: 000000000<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | EC               | CORP              | BR        |    1238800 | NS      | $3095294.46   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashtead Group PLC                                   | Ashtead Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138007UTBN8X9K1A235 | Long             | EC               | CORP              | GB        |     106961 | NS      | $6075897.38   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS INR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-16638.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38375UMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     894870 | PA      | $889403.82    | 0.02%             | 2064-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION                 | CDS FEDERATIVE REPUBLIC OF BRAZIL                                                                                      | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DCR              | CORP              | US        |          1 | NC      | $443.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chipotle Mexican Grill Inc                          | Chipotle Mexican Grill Inc                                                                                             | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       3759 | NS      | $5215574.91   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1414801.97  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Legal & General Group PLC                           | Legal & General Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800JH9QQWHLO99821 | Long             | EC               | CORP              | GB        |     686400 | NS      | $2057919.41   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                             | CUSIP: 60687YBF5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3500000 | PA      | $3417460.55   | 0.06%             | 2024-07-10      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | USD/ILS FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $27063.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | U S TREASURY                                                                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   95100000 | PA      | $95100000.00  | 1.63%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91950.22     | 0.00%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica                      | ABFC 2006-OPT2 Trust                                                                                                   | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1878897 | PA      | $1694017.63   | 0.03%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13156.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS KRW                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-15026.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24674000 | PA      | $23250446.15  | 0.40%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2005-11                                                                                  | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166948 | PA      | $153660.78    | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                     | CVS Health Corp                                                                                                        | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |      81001 | NS      | $7548483.19   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                            | Adani Electricity Mumbai Ltd                                                                                           | CUSIP: 000000000<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |    1300000 | PA      | $980931.25    | 0.02%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Orange SA                                           | Orange SA                                                                                                              | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | EC               | CORP              | FR        |     331700 | NS      | $3291167.87   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NY HARBOR ULSD                                                                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-8179.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OZLM Ltd                                            | OZLM VI Ltd                                                                                                            | CUSIP: 67108LAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9359427 | PA      | $9146499.88   | 0.16%             | 2031-04-17      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Cummins Inc                                         | Cummins Inc                                                                                                            | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |      58492 | NS      | $14172026.68  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                        | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4180.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toagosei Co Ltd                                     | Toagosei Co Ltd                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     133600 | NS      | $1121446.14   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-2837.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CORN                                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-1229.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-25720.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2598678 | PA      | $2490791.93   | 0.04%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Jyske Bank A/S                                      | Jyske Bank A/S                                                                                                         | CUSIP: 000000000<br>LEI: 3M5E1GQGKL17HI6CPN30 | Long             | EC               | CORP              | DK        |      37800 | NS      | $2451020.83   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp                                    | Exxon Mobil Corp                                                                                                       | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |     133180 | NS      | $14689754.00  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Amadeus IT Group SA                                 | Amadeus IT Group SA                                                                                                    | CUSIP: 000000000<br>LEI: 9598004A3FTY3TEHHN09 | Long             | EC               | CORP              | ES        |     198654 | NS      | $10305727.09  | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Fortinet Inc                                        | Fortinet Inc                                                                                                           | CUSIP: 34959E109<br>LEI: 549300O0QJWDBAS0QX03 | Long             | EC               | CORP              | US        |      30831 | NS      | $1507327.59   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-1307.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                                                          | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625128 | PA      | $579477.51    | 0.01%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| International Paper Co                              | International Paper Co                                                                                                 | CUSIP: 460146103<br>LEI: 824LMFJDH41EY779Q875 | Long             | EC               | CORP              | US        |     424138 | NS      | $14687898.94  | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| GOLDMAN SACHS & CO. LLC                             | U S AGENCY MORTGAGE                                                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |   15100000 | PA      | $15100000.00  | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SEK                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-89786.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $3782.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON PLC                                            | ICON PLC                                                                                                               | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |      62433 | NS      | $12127610.25  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BAWAG Group AG                                      | BAWAG Group AG                                                                                                         | CUSIP: 000000000<br>LEI: 529900S9YO2JHTIIDG38 | Long             | EC               | CORP              | AT        |      45000 | NS      | $2398063.31   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Equity LifeStyle Properties In                      | Equity LifeStyle Properties Inc                                                                                        | CUSIP: 29472R108<br>LEI: 529900PEQG66LENB6798 | Long             | EC               | CORP              | US        |      73752 | NS      | $4764379.20   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -3200000 | OU      | $-51914.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                    | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    3900000 | PA      | $3174749.63   | 0.05%             | 2029-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     800000 | PA      | $593457.48    | 0.01%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-7648.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                              | Fairfax Financial Holdings Ltd                                                                                         | CUSIP: 000000000<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1025106.54   | 0.02%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -3200000 | OU      | $-5.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EMPRESA NACIONAL DEL PET                            | Empresa Nacional del Petroleo                                                                                          | CUSIP: 000000000<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | CORP              | CL        |    1500000 | PA      | $1130437.50   | 0.02%             | 2047-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1600000 | OU      | $-603.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Best Buy Co Inc                                     | Best Buy Co Inc                                                                                                        | CUSIP: 086516101<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | EC               | CORP              | US        |     112942 | NS      | $9059077.82   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| EuroMASTR PLC                                       | EuroMASTR PLC                                                                                                          | CUSIP: 000000000<br>LEI: 213800EZV77LZYQZG772 | Long             | ABS-MBS          | CORP              | GB        |     600717 | PA      | $668118.48    | 0.01%             | 2040-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                  | GBP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5705.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                           | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     600000 | PA      | $529706.41    | 0.01%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                        | ING Groep NV                                                                                                           | CUSIP: 456837AY9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     800000 | PA      | $581344.00    | 0.01%             | N/A             | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Obayashi Corp                                       | Obayashi Corp                                                                                                          | CUSIP: 000000000<br>LEI: 529900YT4O5S0LCXWD54 | Long             | EC               | CORP              | JP        |     242200 | NS      | $1829479.88   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fiserv Inc                                          | Fiserv Inc                                                                                                             | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |     321961 | NS      | $32540598.27  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                                         | NVIDIA Corp                                                                                                            | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     103550 | NS      | $15132797.00  | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -3000000 | OU      | $-13518.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hilton Worldwide Holdings Inc                       | Hilton Worldwide Holdings Inc                                                                                          | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |      39952 | NS      | $5048334.72   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CDS PEOPLE'S REPUBLIC OF CHINA                                                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-18372.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-1070.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSK PLC                                             | GSK PLC                                                                                                                | CUSIP: 000000000<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     473840 | NS      | $8189488.09   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27115000 | PA      | $20387090.63  | 0.35%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS COM FWD MEHCO K2                                                                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-3314.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                       | CUSIP: 3133B6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     390147 | PA      | $317898.59    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Primary Aluminum                                                                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         27 | NC      | $-2725.53     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-1957.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM Inc                                        | QUALCOMM Inc                                                                                                           | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |     168425 | NS      | $18516644.50  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                                                          | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132816 | PA      | $107421.89    | 0.00%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | NZD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-144163.54   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                            | Ascent Resources Utica Holdings LLC / ARU Finance Corp                                                                 | CUSIP: 04364VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $316415.23    | 0.01%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                    | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $523789.44    | 0.01%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-18459.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS TRSBENCH8 INDEX                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-763819.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5103.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                                      | ConocoPhillips                                                                                                         | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     122347 | NS      | $14436946.00  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Regency Centers Corp                                | Regency Centers Corp                                                                                                   | CUSIP: 758849103<br>LEI: 529900053A7X7FJ97S58 | Long             | EC               | CORP              | US        |      26545 | NS      | $1659062.50   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNGARY                                             | Hungary Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    2800000 | PA      | $2662275.00   | 0.05%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | 2 YEAR US TREASURY NOTE                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -460 | NC      | $-28240.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                         | Oracle Corp                                                                                                            | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72049.17     | 0.00%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2900000 | OU      | $-96056.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Block Inc                                           | Block Inc                                                                                                              | CUSIP: 852234103<br>LEI: 549300OHIIUWSTIZME52 | Long             | EC               | CORP              | US        |      17921 | NS      | $1126155.64   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2005-9                                                                                        | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42173 | PA      | $33606.13     | 0.00%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-259134.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4693065 | PA      | $3021114.70   | 0.05%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1933.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                       | Regeneron Pharmaceuticals Inc                                                                                          | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |       4712 | NS      | $3399660.88   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2019-4                                                                                       | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4843724 | PA      | $4497593.10   | 0.08%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | EURO-BUND                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -85 | NC      | $773807.79    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -12100000 | PA      | $-10759674.77 | -0.18%            | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7900000 | PA      | $5589250.00   | 0.10%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials Inc                       | Martin Marietta Materials Inc                                                                                          | CUSIP: 573284106<br>LEI: 5299005MZ4WZECVATV08 | Long             | EC               | CORP              | US        |       3445 | NS      | $1164306.65   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                            | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9450090 | PA      | $10417284.95  | 0.18%             | 2024-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                      | Securitized Asset Backed Receivables LLC Trust 2007-BR5                                                                | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131946 | PA      | $98948.11     | 0.00%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                        | Saxon Asset Securities Trust 2005-1                                                                                    | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     771821 | PA      | $581616.45    | 0.01%             | 2035-05-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                                                                        | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     562760 | PA      | $539296.40    | 0.01%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                      | Qatar Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     300000 | PA      | $298950.00    | 0.01%             | 2023-04-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                           | Prosus NV                                                                                                              | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $2154000.00   | 0.04%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Tsubakimoto Chain Co                                | Tsubakimoto Chain Co                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      74400 | NS      | $1678377.80   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                         | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |      16724 | NS      | $5742687.12   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-235665.36   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | TRS LLSCO                                                                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |          1 | NC      | $-330.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3010000 | PA      | $2153090.63   | 0.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS INR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $26667.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                | Enel Finance International NV                                                                                          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1700000 | PA      | $1349427.02   | 0.02%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ISRAEL FIXED BOND                                   | Israel Government Bond - Fixed                                                                                         | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    5400000 | PA      | $1434433.17   | 0.02%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Betsson AB                                          | Betsson AB                                                                                                             | CUSIP: 000000000<br>LEI: 549300W61XW8OFGBG077 | Long             | EC               | CORP              | SE        |     207400 | NS      | $1685691.95   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $970610.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                 | New Zealand Government Inflation Linked Bond                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    1700000 | PA      | $1308763.18   | 0.02%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                 | Newgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    2086944 | PA      | $2349147.74   | 0.04%             | 2050-12-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                 | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     600000 | PA      | $570780.46    | 0.01%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: —       |
| Live Nation Entertainment Inc                       | Live Nation Entertainment Inc                                                                                          | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Long             | EC               | CORP              | US        |      27666 | NS      | $1929426.84   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | EUR/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2579.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                      | Chase Mortgage Finance Trust Series 2007-A2                                                                            | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52617 | PA      | $43580.93     | 0.00%             | 2037-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Telenet Group Holding NV                            | Telenet Group Holding NV                                                                                               | CUSIP: 000000000<br>LEI: 213800FA3K4S56INQI67 | Long             | EC               | CORP              | BE        |      57600 | NS      | $940855.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                           | ONEOK Inc                                                                                                              | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     300000 | PA      | $283491.65    | 0.00%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6893760 | PA      | $7312302.14   | 0.13%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Tenaris SA                                          | Tenaris SA                                                                                                             | CUSIP: 000000000<br>LEI: 549300Y7C05BKC4HZB40 | Long             | EC               | CORP              | LU        |     638014 | NS      | $11189307.29  | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4691290 | PA      | $3841285.44   | 0.07%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Adecco Group AG                                     | Adecco Group AG                                                                                                        | CUSIP: 000000000<br>LEI: NI14Y5UMU60O7JE9P611 | Long             | EC               | CORP              | CH        |      45900 | NS      | $1509874.06   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                | OneMain Finance Corp                                                                                                   | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     400000 | PA      | $318241.00    | 0.01%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-297.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| News Corp                                           | News Corp                                                                                                              | CUSIP: 65249B109<br>LEI: 549300ITS31QK8VRBQ14 | Long             | EC               | CORP              | US        |     697515 | NS      | $12694773.00  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140FXLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1054771 | PA      | $967643.11    | 0.02%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Yara International ASA                              | Yara International ASA                                                                                                 | CUSIP: 000000000<br>LEI: 213800WKOUWXWFJ5Z514 | Long             | EC               | CORP              | NO        |      50500 | NS      | $2217807.52   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/CAD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10362.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS INR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-97332.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | NOK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8364.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH LIMITED                                         | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-52797.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc                      | Bear Stearns Structured Products Inc Trust 2007-R6                                                                     | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375450 | PA      | $274925.59    | 0.00%             | 2036-01-26      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $398.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Americold Realty Trust Inc                          | Americold Realty Trust Inc                                                                                             | CUSIP: 03064D108<br>LEI: 549300R7N1V5YV8MWH02 | Long             | EC               | CORP              | US        |      46330 | NS      | $1311602.30   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | Eurex 5 Year Euro BOBL                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -359 | NC      | $1330221.36   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | CDS REPBULIC OF COLOMBIA                                                                                               | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DCR              | CORP              | CH        |          1 | NC      | $-65486.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-88010.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | CME E-MINI RUSSELL 2000 INDEX                                                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        271 | NC      | $-574280.55   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | PHP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2848.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | KCBT Hard Red Winter Wheat                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        -12 | NC      | $20477.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TOMRA Systems ASA                                   | TOMRA Systems ASA                                                                                                      | CUSIP: 000000000<br>LEI: 549300J726JCFJU3VT89 | Long             | EC               | CORP              | NO        |      15277 | NS      | $257665.86    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                  | Serbia International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     600000 | PA      | $550866.95    | 0.01%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | ISHARES MSCI EAFE ETF                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |       8100 | NC      | $6335935.86   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24              | SFE 10 YEAR AUSTRALIAN BOND                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -15 | NC      | $66575.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Asset Backed Securities Corp H                      | Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4                                                 | CUSIP: 04541GRR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1423889 | PA      | $1301527.25   | 0.02%             | 2035-05-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                        | CSMC Mortgage-Backed Trust 2007-3                                                                                      | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156901 | PA      | $44225.27     | 0.00%             | 2037-04-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                      | Bombardier Inc                                                                                                         | CUSIP: 097751BR1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1139000 | PA      | $1137614.06   | 0.02%             | 2024-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-4002.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Dollar Tree Inc                                     | Dollar Tree Inc                                                                                                        | CUSIP: 256746108<br>LEI: 549300PMSTQITB1WHR43 | Long             | EC               | CORP              | US        |      14307 | NS      | $2023582.08   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |   23400000 | OU      | $33571.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS BRITISH TELECOMMUNICATIONS                                                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-49394.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2022-INV1                                                                                | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2186385 | PA      | $1825034.24   | 0.03%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| American International Group I                      | American International Group Inc                                                                                       | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     306367 | NS      | $19374649.08  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2004-22                                                                                | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255349 | PA      | $229549.91    | 0.00%             | 2034-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                       | BAMLL Commercial Mortgage Securities Trust 2021-JACX                                                                   | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2250054.48   | 0.04%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | CZK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-214820.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                              | Canyon Capital CLO 2019-1 Ltd                                                                                          | CUSIP: 13887TAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $6609349.58   | 0.11%             | 2032-04-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE NEWCASTLE COAL                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-32809.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Structured Adjustable Rate Mor                      | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                                                          | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64565 | PA      | $56780.02     | 0.00%             | 2035-09-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Bouygues SA                                         | Bouygues SA                                                                                                            | CUSIP: 000000000<br>LEI: 969500MOCLNQFNZN0D63 | Long             | EC               | CORP              | FR        |      96900 | NS      | $2906202.06   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | CALCARBALLOWV                                                                                                          | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        271 | NC      | $320233.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1210149.55   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                            | Santander UK Group Holdings PLC                                                                                        | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2700000 | PA      | $2655309.06   | 0.05%             | 2024-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                        | ING Groep NV                                                                                                           | CUSIP: 456837AL7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1602570.08   | 0.03%             | 2023-10-02      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ripon Mortgages PLC                                 | Ripon Mortgages PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800MQYZ3GZ4HK1I88 | Long             | ABS-MBS          | CORP              | GB        |    5252987 | PA      | $6252431.63   | 0.11%             | 2056-08-28      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1S                                                                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-3660.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-862.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -5900000 | OU      | $-1.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | KRW/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9381.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | SNG GSOIL V LOW SU                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-1358.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RLJ Lodging Trust                                   | RLJ Lodging Trust                                                                                                      | CUSIP: 74965L101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     144285 | NS      | $1527978.15   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94864.06     | 0.00%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Allianz SE                                          | Allianz SE                                                                                                             | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | EC               | CORP              | DE        |      11500 | NS      | $2455914.89   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Ono Pharmaceutical Co Ltd                           | Ono Pharmaceutical Co Ltd                                                                                              | CUSIP: 000000000<br>LEI: 529900G26L4NG4GFJZ86 | Long             | EC               | CORP              | JP        |     135400 | NS      | $3164783.67   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2004-NC5                                                                        | CUSIP: 61746RFV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1933770 | PA      | $1792064.69   | 0.03%             | 2034-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47559.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Wheat                                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         64 | NC      | $8203.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Skanska AB                                          | Skanska AB                                                                                                             | CUSIP: 000000000<br>LEI: 549300UINV5RINHGMG07 | Long             | EC               | CORP              | SE        |     109100 | NS      | $1729506.34   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $7979.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |   -1900000 | OU      | $-27735.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CHF                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-107397.17   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2003-1                                                                                         | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        952 | PA      | $926.89       | 0.00%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1672.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nippon Television Holdings Inc                      | Nippon Television Holdings Inc                                                                                         | CUSIP: 000000000<br>LEI: 353800QI43C3H97E4W63 | Long             | EC               | CORP              | JP        |     193400 | NS      | $1525570.74   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                              | Sequoia Mortgage Trust 2007-3                                                                                          | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29643 | PA      | $25229.51     | 0.00%             | 2036-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US MINI MSCI EAFE INDEX                                                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |       1993 | NC      | $-3113940.48  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                | Deutsche Bundesrepublik Inflation Linked Bond                                                                          | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     998640 | PA      | $1060389.32   | 0.02%             | 2023-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     602188 | PA      | $599654.39    | 0.01%             | 2064-01-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                         | Vistra Corp                                                                                                            | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1314916.71   | 0.02%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                | Chart Industries Inc                                                                                                   | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100415.01    | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        244 | PA      | $31.05        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PGIM Core Ultra Short Bond Fund                     | PGIM Core Ultra Short Bond Fund                                                                                        | CUSIP: 000000000<br>LEI: 1VRLPVAWKZCB406TIT84 | Long             | STIV             | RF                | US        |  608059792 | NS      | $608059791.50 | 10.42%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $235612.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDION Corp                                          | EDION Corp                                                                                                             | CUSIP: 000000000<br>LEI: 353800697NBCW7EAHZ97 | Long             | EC               | CORP              | JP        |     185400 | NS      | $1813263.89   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fingal Securities RMBS                              | Fingal Securities RMBS DAC                                                                                             | CUSIP: 000000000<br>LEI: 635400OLMFXCZMA6UR95 | Long             | ABS-MBS          | CORP              | IE        |    1027772 | PA      | $1097393.75   | 0.02%             | 2055-07-28      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    -300000 | OU      | $-3494.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |   31400000 | OU      | $50.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Atlassian Corp                                      | Atlassian Corp                                                                                                         | CUSIP: 049468101<br>LEI: 549300V7ZY5P02D2MY38 | Long             | EC               | CORP              | US        |      21545 | NS      | $2772410.60   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $306.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   33500000 | OU      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                       | SFO Commercial Mortgage Trust 2021-555                                                                                 | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3297750.12   | 0.06%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                       | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                                                          | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24103 | PA      | $20913.42     | 0.00%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-25567.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $47.68        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1050000 | PA      | $795172.98    | 0.01%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                              | UnitedHealth Group Inc                                                                                                 | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      54594 | NS      | $28944646.92  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDLINE BORROWER LP                                 | Medline Borrower LP                                                                                                    | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     225000 | PA      | $181340.68    | 0.00%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                 | Southern California Edison Co                                                                                          | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297877.24    | 0.01%             | 2024-04-01      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24              | SFE 10 YEAR AUSTRALIAN BOND                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         66 | NC      | $-295852.80   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834DU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     525000 | PA      | $269944.34    | 0.00%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siltronic AG                                        | Siltronic AG                                                                                                           | CUSIP: 000000000<br>LEI: 5299003NKV26NNGHHR90 | Long             | EC               | CORP              | DE        |      20200 | NS      | $1469357.64   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     400000 | PA      | $213509.11    | 0.00%             | 2032-05-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2476036 | PA      | $273307.19    | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/DKK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15359.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX HENRY HUB NATURAL GAS                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-10930.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| K's Holdings Corp                                   | K's Holdings Corp                                                                                                      | CUSIP: 000000000<br>LEI: 3538003LJ09YLR6NHG27 | Long             | EC               | CORP              | JP        |     114600 | NS      | $982929.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                             | Fidelity National Information Services Inc                                                                             | CUSIP: 31620MBC9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     600000 | PA      | $637344.43    | 0.01%             | 2023-05-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CHF                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-194077.08   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7694.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Zinc                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-5543.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association               | PLN/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $32937.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-2                                                                                        | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92600 | PA      | $71036.62     | 0.00%             | 2036-03-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $16373.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-11316.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMC ENTERTAINMENT HLDGS                             | AMC Entertainment Holdings Inc                                                                                         | CUSIP: 00165CAP9<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |     233783 | PA      | $97016.44     | 0.00%             | 2026-06-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $172196.30    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-17278.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $111649.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | SOYBEAN                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-3197.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $160998.75    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2006-OA22                                                                                       | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52111 | PA      | $44115.80     | 0.00%             | 2047-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ISRAEL MAKAM BILL                                   | Bank of Israel Bill - Makam                                                                                            | CUSIP: 000000000<br>LEI: M8LYVLF5DOB9X0LZOW72 | Long             | DBT              | NUSS              | IL        |   30769000 | PA      | $8711362.07   | 0.15%             | 2023-02-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gaming and Leisure Properties                       | Gaming and Leisure Properties Inc                                                                                      | CUSIP: 36467J108<br>LEI: 5493006GWRDBCZYWTM57 | Long             | EC               | CORP              | US        |      64467 | NS      | $3358086.03   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Western Digital Corp                                | Western Digital Corp                                                                                                   | CUSIP: 958102105<br>LEI: 549300QQXOOYEF89IC56 | Long             | EC               | CORP              | US        |     273200 | NS      | $8619460.00   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                 | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    3050000 | PA      | $2673709.91   | 0.05%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                             | Bristol-Myers Squibb Co                                                                                                | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |      95426 | NS      | $6865900.70   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-792213.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                   | Newell Brands Inc                                                                                                      | CUSIP: 651229BB1<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     145000 | PA      | $141460.39    | 0.00%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/CLP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18462.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gartner Inc                                         | Gartner Inc                                                                                                            | CUSIP: 366651107<br>LEI: PP55B5R38BFB8O8HH686 | Long             | EC               | CORP              | US        |       9359 | NS      | $3145934.26   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Siemens AG                                          | Siemens AG                                                                                                             | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |      95054 | NS      | $13103319.67  | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| EG FINCO LTD                                        | EG Finco Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 2138003OUK4UQHRJLT65 | Long             | LON              | CORP              | GB        |     382000 | PA      | $413712.61    | 0.01%             | 2025-02-05      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                              | Mizuho Financial Group Inc                                                                                             | CUSIP: 60687YAS8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $1083441.59   | 0.02%             | 2024-09-11      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Perenti Ltd                                         | Perenti Ltd                                                                                                            | CUSIP: 000000000<br>LEI: 25490044GUNE4S2E6K11 | Long             | EC               | CORP              | AU        |     963600 | NS      | $863037.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KDDI Corp                                           | KDDI Corp                                                                                                              | CUSIP: 000000000<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |      67900 | NS      | $2059196.21   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-49936.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                   | Chile Government International Bond                                                                                    | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     400000 | PA      | $342042.14    | 0.01%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          8 | NC      | $-84467.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit CLO, Limit                      | Bain Capital Credit CLO 2019-2                                                                                         | CUSIP: 05682LAJ6<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2943961.50   | 0.05%             | 2032-10-17      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                              | Pertamina Persero PT                                                                                                   | CUSIP: 69370RAJ6<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    1000000 | PA      | $704875.00    | 0.01%             | 2060-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GOLDEN ENTERTAINMENT INC                            | Golden Entertainment Inc                                                                                               | CUSIP: 381013AA9<br>LEI: 549300P8YYCKQVJ0Y638 | Long             | DBT              | CORP              | US        |     325000 | PA      | $320481.89    | 0.01%             | 2026-04-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Intact Financial Corp                               | Intact Financial Corp                                                                                                  | CUSIP: 45823T106<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | EC               | CORP              | CA        |      48919 | NS      | $7041951.47   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Yokohama Rubber Co Ltd/The                          | Yokohama Rubber Co Ltd/The                                                                                             | CUSIP: 000000000<br>LEI: 52990036XNWY2FMYWB76 | Long             | EC               | CORP              | JP        |     126100 | NS      | $1951222.84   | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-78685.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    -500000 | OU      | $-123.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pirelli & C SpA                                     | Pirelli & C SpA                                                                                                        | CUSIP: 000000000<br>LEI: 815600A0C9AFC1F2A709 | Long             | EC               | CORP              | IT        |     406000 | NS      | $1740341.74   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9957468 | PA      | $8327010.50   | 0.14%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/ZAR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8046.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-706176.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bekaert SA                                          | Bekaert SA                                                                                                             | CUSIP: 000000000<br>LEI: 5493008SR6XZECH6BN71 | Long             | EC               | CORP              | BE        |      63500 | NS      | $2467802.12   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/MXN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6340.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $566127.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-2417.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                      | Morgan Stanley Mortgage Loan Trust 2006-8AR                                                                            | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28614 | PA      | $27194.84     | 0.00%             | 2036-06-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                            | Ascent Resources Utica Holdings LLC / ARU Finance Corp                                                                 | CUSIP: 04364VAR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $318949.65    | 0.01%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1                                                             | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     568821 | PA      | $531251.77    | 0.01%             | 2034-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10627.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                   | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     400000 | PA      | $382436.94    | 0.01%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $61066.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS SOFRRATE                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $14334.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ingersoll Rand Inc                                  | Ingersoll Rand Inc                                                                                                     | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |      96731 | NS      | $5054194.75   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                   | CDS REPUBLIC OF TURKEY                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-4733.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-483330.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13614.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS ITRAXX.EU.31.V2                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $18643.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-191662.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2005-10                                                                                 | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230074 | PA      | $175357.66    | 0.00%             | 2035-11-19      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Aviva PLC                                           | Aviva PLC                                                                                                              | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | EC               | CORP              | GB        |     377872 | NS      | $2004476.94   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4282160 | PA      | $2760931.01   | 0.05%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $197905.27    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                        | UBS Group AG                                                                                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $386778.68    | 0.01%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                                     | Lamb Weston Holdings Inc                                                                                               | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     175000 | PA      | $154841.79    | 0.00%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS TESCO                                                                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $6093.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | EUX Short term Euro-BTP                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -294 | NC      | $465116.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36950000 | PA      | $34646534.78  | 0.59%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1340.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   17470000 | OU      | $58239.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MercadoLibre Inc                                    | MercadoLibre Inc                                                                                                       | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Long             | EC               | CORP              | UY        |       4257 | NS      | $3602443.68   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Volkswagen AG                                       | Volkswagen AG                                                                                                          | CUSIP: 000000000<br>LEI: 529900NNUPAGGOMPXZ31 | Long             | EC               | CORP              | DE        |      18200 | NS      | $2855140.41   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Queensland Ltd                              | Bank of Queensland Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 549300WFIN7T02UKDG08 | Long             | EC               | CORP              | AU        |     419700 | NS      | $1962587.00   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2006-QO6 Trust                                                                                             | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462468 | PA      | $105258.97    | 0.00%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                         | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1                                                     | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368193 | PA      | $358505.74    | 0.01%             | 2036-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $186718.99    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T                      | Ready Capital Mortgage Financing 2021-FL6 LLC                                                                          | CUSIP: 75575TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2050812 | PA      | $1951308.59   | 0.03%             | 2036-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8683312 | PA      | $9744617.13   | 0.17%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                    | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                       | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $433112.29    | 0.01%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $538734.38    | 0.01%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2003-5                                                                                          | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1682 | PA      | $1584.06      | 0.00%             | 2033-08-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2500000 | PA      | $2389068.25   | 0.04%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: —       |
| Citibank, National Association                      | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-18607.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | iShares iBoxx $ Investment Grade Corporate Bond ETF                                                                    | CUSIP: 464287242<br>LEI: 549300FYCXFXG8POR355 | Long             | EC               | RF                | US        |     309456 | NS      | $32625946.08  | 0.56%             |  |  |  | No            |                  1 | On Loan: —       |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6858806 | PA      | $6847989.30   | 0.12%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | CDS REPUBLIC OF TURKEY                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-9467.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1288691 | PA      | $1271038.57   | 0.02%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2737000 | PA      | $1876127.97   | 0.03%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SUMCO Corp                                          | SUMCO Corp                                                                                                             | CUSIP: 000000000<br>LEI: 353800SUSRUOM0V6KU92 | Long             | EC               | CORP              | JP        |     123300 | NS      | $1633551.97   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                           | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     300000 | PA      | $224878.00    | 0.00%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8627.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                | Colombia Government International Bond                                                                                 | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    1800000 | PA      | $1319400.00   | 0.02%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                     | Sands China Ltd                                                                                                        | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1032999.00   | 0.02%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: —       |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10073698 | PA      | $8131261.68   | 0.14%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | IDR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-129.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1403136.36   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1000000 | OU      | $-62991.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-60649.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -22099418 | PA      | $-20825442.05 | -0.36%            | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $338361.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ludgate Funding Plc                                 | Ludgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    2074630 | PA      | $2068188.48   | 0.04%             | 2061-01-01      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | GBP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $17051.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust Inc                                                                                      | CUSIP: 17307GT57<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      22555 | PA      | $13357.60     | 0.00%             | 2035-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Aurubis AG                                          | Aurubis AG                                                                                                             | CUSIP: 000000000<br>LEI: 5299005SHIN9ZK7GW242 | Long             | EC               | CORP              | DE        |      22500 | NS      | $1831527.75   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-83864.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14480000 | OU      | $-1165.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DCM Holdings Co Ltd                                 | DCM Holdings Co Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 353800S1QF5V2DN70A36 | Long             | EC               | CORP              | JP        |     222400 | NS      | $2029347.01   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          5 | NC      | $3123.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS CMDSKEWLS INDEX                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $30399.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.HY.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   -2972000 | OU      | $-18698.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                           | BRL/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1664.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                      | Banc of America Mortgage 2005-H Trust                                                                                  | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5619 | PA      | $4765.70      | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $170844.12    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Super Retail Group Ltd                              | Super Retail Group Ltd                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |     335300 | NS      | $2433586.36   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                  | Ford Motor Co                                                                                                          | CUSIP: 345370CS7<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    3475000 | PA      | $2672272.74   | 0.05%             | 2046-12-08      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $178390.49    | 0.00%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                        | CSMC 2021-INV2 Trust                                                                                                   | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2549721 | PA      | $2125133.91   | 0.04%             | 2056-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS EURMARG3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $16312.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   11818409 | PA      | $1232156.63   | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                | Taylor Morrison Communities Inc                                                                                        | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     230000 | PA      | $200126.59    | 0.00%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| iShares Russell 1000 Growth ETF                     | iShares Russell 1000 Growth ETF                                                                                        | CUSIP: 464287614<br>LEI: 549300H1KWQVEKI25E14 | Long             | EC               | RF                | US        |     139777 | NS      | $29945824.48  | 0.51%             |  |  |  | No            |                  1 | On Loan: —       |
| Accenture PLC                                       | Accenture PLC                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |      12266 | NS      | $3273059.44   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                            | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     900000 | PA      | $851512.50    | 0.01%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $136724.38    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3795000 | PA      | $1801735.57   | 0.03%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-633855.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/GBP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-35065.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-24238.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                              | New Zealand Government Bond                                                                                            | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    1300000 | PA      | $656746.91    | 0.01%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -14 | NC      | $160995.17    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8099.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                            | Petroleos de Venezuela SA                                                                                              | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    5400000 | PA      | $256500.00    | 0.00%             | 2024-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38380HCH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9317 | PA      | $8807.99      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-375011.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Rexel SA                                            | Rexel SA                                                                                                               | CUSIP: 000000000<br>LEI: 969500N6AVPA51648T62 | Long             | EC               | CORP              | FR        |     124900 | NS      | $2470333.34   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                 | Sprint Capital Corp                                                                                                    | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     900000 | PA      | $935950.14    | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vistry Group PLC                                    | Vistry Group PLC                                                                                                       | CUSIP: 000000000<br>LEI: 2138001KOWN7CG9SLK53 | Long             | EC               | CORP              | GB        |      97500 | NS      | $734366.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                        | Voya CLO 2013-2 Ltd                                                                                                    | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2952942.30   | 0.05%             | 2031-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ITOCHU Corp                                         | ITOCHU Corp                                                                                                            | CUSIP: 000000000<br>LEI: J48DJYXDTLHM30UMYI18 | Long             | EC               | CORP              | JP        |      51700 | NS      | $1621971.39   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-42655.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |   -7400000 | OU      | $-0.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | MXN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $853.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lam Research Corp                                   | Lam Research Corp                                                                                                      | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |       7427 | NS      | $3121568.10   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS NOK                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $29058.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS COM FWD FSNGYCAL F24                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $5695.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK NOVA SCOTIA                                    | BANK NOVA SCOTIA                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2500000 | PA      | $1838847.86   | 0.03%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                            | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    1300000 | PA      | $1239361.05   | 0.02%             | 2026-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-997.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-307656.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                            | Angel Oak Mortgage Trust 2020-4                                                                                        | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488012 | PA      | $435583.48    | 0.01%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Bunzl PLC                                           | Bunzl PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800Q1Q9DV4L78UM09 | Long             | EC               | CORP              | GB        |     237815 | NS      | $7912143.71   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | CDS GAZPROM PAO                                                                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $71248.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-3937.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DELL INT LLC / EMC CORP                             | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $306265.59    | 0.01%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: —       |
| NOMURA HOLDINGS INC                                 | Nomura Holdings Inc                                                                                                    | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     600000 | PA      | $526635.90    | 0.01%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP TRS QSCOCAL4Q22 30                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |    -100000 | OU      | $-7974.53     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1265797.60   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | PLN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16686.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                            | Western Midstream Operating LP                                                                                         | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      95000 | PA      | $78658.14     | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $103058.02    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOKYO METROPOLITAN GOVT                             | Tokyo Metropolitan Government                                                                                          | CUSIP: 59173LAD2<br>LEI: 353800FABE4GGB1BMO18 | Long             | DBT              | NUSS              | JP        |    3400000 | PA      | $3062828.80   | 0.05%             | 2025-07-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-1827.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Marubeni Corp                                       | Marubeni Corp                                                                                                          | CUSIP: 000000000<br>LEI: 4P4N3ORD02UGQT1T1W12 | Long             | EC               | CORP              | JP        |     212300 | NS      | $2432097.94   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   14810000 | OU      | $25289.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2017060.05  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MARKET BIDCO FINCO PLC                              | Market Bidco Finco PLC                                                                                                 | CUSIP: 000000000<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1377477.63   | 0.02%             | 2027-11-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $725.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2005-WMC1                                                                                                  | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67181 | PA      | $65389.92     | 0.00%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                      | Securitized Asset Backed Receivables LLC Trust 2007-NC1                                                                | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1257 | PA      | $769.60       | 0.00%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| OMV AG                                              | OMV AG                                                                                                                 | CUSIP: 000000000<br>LEI: 549300V62YJ9HTLRI486 | Long             | EC               | CORP              | AT        |      65700 | NS      | $3379671.47   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Saison Co Ltd                                | Credit Saison Co Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 529900SV58ZWTGRH3A66 | Long             | EC               | CORP              | JP        |     100600 | NS      | $1297118.66   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54496473 | PA      | $51243216.78  | 0.88%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |  -37400000 | OU      | $-2419140.33  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS SOFRRATE                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-314734.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4706332.58  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     800000 | PA      | $313388.62    | 0.01%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co                                     | Weyerhaeuser Co                                                                                                        | CUSIP: 962166104<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | EC               | CORP              | US        |     434322 | NS      | $13463982.00  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | CDS REPBULIC OF COLOMBIA                                                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-47626.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS SA                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1093.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crown City CLO I                                    | Crown City CLO I                                                                                                       | CUSIP: 22823RAJ8<br>LEI: 549300K60T4GC7BSX929 | Long             | ABS-CBDO         | CORP              | KY        |    8750000 | PA      | $8464766.63   | 0.15%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2007-16CB                                                                                       | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18004 | PA      | $9705.20      | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL BK HUNGARY BILL                            | National Bank of Hungary Bill                                                                                          | CUSIP: 000000000<br>LEI: SS58IXU92ZSUMORZFG95 | Long             | DBT              | NUSS              | HU        | 1045000000 | PA      | $2801627.36   | 0.05%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $280228.51    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-8546.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $473328.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1258549 | PA      | $131528.47    | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CSL Ltd                                             | CSL Ltd                                                                                                                | CUSIP: 000000000<br>LEI: 529900ECSECK5ZDQTE14 | Long             | EC               | CORP              | AU        |      31688 | NS      | $6178973.04   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |   -7000000 | OU      | $-143.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $49134.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-3281.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWISS INSURED BRAZIL                                | Swiss Insured Brazil Power Finance Sarl                                                                                | CUSIP: 870880AA9<br>LEI: 254900OBFHBLNHXH1Z48 | Long             | DBT              | CORP              | LU        |   14825347 | PA      | $2437663.54   | 0.04%             | 2032-07-16      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-512.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                 | JPMorgan Chase & Co                                                                                                    | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2383275.83   | 0.04%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                         | Oracle Corp                                                                                                            | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2167901.48   | 0.04%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/BRL FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4131.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2004-10                                                                                         | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11246 | PA      | $9662.33      | 0.00%             | 2035-01-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/ZAR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2911.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6347103.91  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |    -600000 | OU      | $-4161.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cie de Saint-Gobain                                 | Cie de Saint-Gobain                                                                                                    | CUSIP: 000000000<br>LEI: NFONVGN05Z0FMN5PEC35 | Long             | EC               | CORP              | FR        |      52600 | NS      | $2573236.46   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-148796.85   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $642187.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | Long Gilt                                                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        -98 | NC      | $773559.49    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | ILS/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $324090.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | TRS BCOM INDEX                                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |          1 | NC      | $33264.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NN Group NV                                         | NN Group NV                                                                                                            | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | EC               | CORP              | NL        |      38700 | NS      | $1582528.24   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                               | Venezuela Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     800000 | PA      | $56000.00     | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                              | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $722587.68    | 0.01%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $204792.44    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2007-QO2 Trust                                                                                             | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1164452 | PA      | $421802.07    | 0.01%             | 2047-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Holcim AG                                           | Holcim AG                                                                                                              | CUSIP: 000000000<br>LEI: 529900EHPFPYHV6IQO98 | Long             | EC               | CORP              | CH        |      55100 | NS      | $2852157.27   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $306296.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1ST                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-5653.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Homeward Opportunities Fund I                       | Homeward Opportunities Fund I Trust 2020-2                                                                             | CUSIP: 43789XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37336 | PA      | $37083.81     | 0.00%             | 2065-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                 | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1728000 | PA      | $1687827.63   | 0.03%             | 2024-06-12      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $212209.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8359.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                       | GS Mortgage-Backed Securities Trust 2021-INV1                                                                          | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1502052 | PA      | $1205689.74   | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -2500000 | OU      | $-9800.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                       | DISH DBS Corp                                                                                                          | CUSIP: 25470XBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $212040.00    | 0.00%             | 2028-07-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                                | Petronas Capital Ltd                                                                                                   | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    1800000 | PA      | $1487070.00   | 0.03%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14860000 | OU      | $-8151.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| St Pauls CLO                                        | St Paul's CLO V DAC                                                                                                    | CUSIP: 000000000<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |    4980704 | PA      | $5211111.26   | 0.09%             | 2030-02-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Michelin                                            | Cie Generale des Etablissements Michelin SCA                                                                           | CUSIP: 000000000<br>LEI: 549300SOSI58J6VIW052 | Long             | EC               | CORP              | FR        |      68800 | NS      | $1916582.45   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4318.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | NYBOT CTN NUMBER 2 COTTON                                                                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-729.89      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Honda Motor Co Ltd                                  | Honda Motor Co Ltd                                                                                                     | CUSIP: 000000000<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | EC               | CORP              | JP        |     133400 | NS      | $3042721.64   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture Corp Ltd                                    | Venture Corp Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 254900B1NLZC3J1MAE72 | Long             | EC               | CORP              | SG        |      72200 | NS      | $920274.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-300.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Leonardo SpA                                        | Leonardo SpA                                                                                                           | CUSIP: 000000000<br>LEI: 529900X4EEX1U9LN3U39 | Long             | EC               | CORP              | IT        |     278400 | NS      | $2401135.31   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Soybean Oil                                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -6 | NC      | $19003.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RUSSIAN FEDERATION                                  | Russian Foreign Bond - Eurobond                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1100000 | PA      | $294373.75    | 0.01%             | 2036-05-27      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                      | IndyMac INDX Mortgage Loan Trust 2006-AR12                                                                             | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123940 | PA      | $106916.71    | 0.00%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                       | GS Mortgage-Backed Securities Trust 2021-GR3                                                                           | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629353 | PA      | $505178.54    | 0.01%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN ESCROW BOND (5252M0BZ9)                      | LEHMAN ESCROW BONDS ORIGINAL CUSIP:5252M0BZ9 LEHMAN BROTHERS HOLDINGS INC 5.625% 01/24/13 ESCROW BONDS ISSUED 04/17/12 | CUSIP: 000000000<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $5950.00      | 0.00%             | 2023-12-31      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                      | Carrington Mortgage Loan Trust Series 2006-FRE1                                                                        | CUSIP: 144538AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2460000 | PA      | $2134984.55   | 0.04%             | 2036-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2005-2                                                                                 | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198683 | PA      | $159163.02    | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $42301.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | KRW/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7629.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                               | TRS COM FWD COCAL23                                                                                                    | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DE               | CORP              | US        |          1 | NC      | $20677.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $84527.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                   | HSBC Holdings PLC                                                                                                      | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $184186.00    | 0.00%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                      | Amazon.com Inc                                                                                                         | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     477382 | NS      | $40100088.00  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12323667 | PA      | $11552598.69  | 0.20%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | Three-Month SOFR                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -644 | NC      | $260898.31    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS CDX.NA.IG.38.V1                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $11642.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | Three-Month SOFR                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        382 | NC      | $-410251.57   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| China Tourism Group Duty Free                       | China Tourism Group Duty Free Corp Ltd                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | CN        |     164200 | NS      | $4812574.15   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | COMEX Copper                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          5 | NC      | $53865.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK NOVA SCOTIA                                    | BANK NOVA SCOTIA                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3900000 | PA      | $2870100.44   | 0.05%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dai-ichi Life Holdings Inc                          | Dai-ichi Life Holdings Inc                                                                                             | CUSIP: 000000000<br>LEI: 549300ZUFXI7JXZVTZ25 | Long             | EC               | CORP              | JP        |      85000 | NS      | $1919586.81   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                       | American Home Mortgage Assets Trust 2007-1                                                                             | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1192030 | PA      | $486288.16    | 0.01%             | 2047-02-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                       | RFMSI Series 2005-SA4 Trust                                                                                            | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139804 | PA      | $86439.73     | 0.00%             | 2035-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Infosys Ltd                                         | Infosys Ltd                                                                                                            | CUSIP: 000000000<br>LEI: 335800TYLGG93MM7PR89 | Long             | EC               | CORP              | IN        |     330800 | NS      | $6030913.88   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                      | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                                                         | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1908820 | PA      | $1814540.09   | 0.03%             | 2031-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4900000 | PA      | $4967328.11   | 0.09%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Canon Inc                                           | Canon Inc                                                                                                              | CUSIP: 000000000<br>LEI: 529900JH1GSC035SSP77 | Long             | EC               | CORP              | JP        |      46700 | NS      | $1010778.06   | 0.02%             |  |  |  | No            |                  2 | On Loan: —       |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-621.47      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2005-9                                                                                  | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838935 | PA      | $744809.77    | 0.01%             | 2035-06-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                               | China Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   13900000 | PA      | $2110919.27   | 0.04%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                             | Standard Industries Inc/NJ                                                                                             | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     775000 | PA      | $634845.60    | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | J.P. Morgan Mortgage Trust 2021-INV5                                                                                   | CUSIP: 46653XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1751120 | PA      | $1459518.64   | 0.03%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                | Booking Holdings Inc                                                                                                   | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |       2414 | NS      | $4864885.92   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BCAP LLC Trust                                      | BCAP LLC 2011-RR4-I Trust                                                                                              | CUSIP: 05533XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281297 | PA      | $113749.87    | 0.00%             | 2036-02-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Apartment Income REIT Corp                          | Apartment Income REIT Corp                                                                                             | CUSIP: 03750L109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      41135 | NS      | $1411341.85   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Acquisition                      | JP Morgan Mortgage Acquisition Trust 2007-CH1                                                                          | CUSIP: 46630LBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7700000 | PA      | $7612732.05   | 0.13%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     972000 | PA      | $396469.69    | 0.01%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities Inc                           | AvalonBay Communities Inc                                                                                              | CUSIP: 053484101<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | EC               | CORP              | US        |     154052 | NS      | $24882479.04  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -500000 | OU      | $-783.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                  | Panama Government International Bond                                                                                   | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    2800000 | PA      | $2053275.00   | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Halma PLC                                           | Halma PLC                                                                                                              | CUSIP: 000000000<br>LEI: 2138007FRGLUR9KGBT40 | Long             | EC               | CORP              | GB        |     166241 | NS      | $3959021.32   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2005-QS13 Trust                                                                                            | CUSIP: 761118HC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37871 | PA      | $31616.69     | 0.00%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Teleperformance                                     | Teleperformance                                                                                                        | CUSIP: 000000000<br>LEI: 9695004GI61FHFFNRG61 | Long             | EC               | CORP              | FR        |      19484 | NS      | $4657951.30   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Sankyu Inc                                          | Sankyu Inc                                                                                                             | CUSIP: 000000000<br>LEI: 529900QWTXZZEM1T5G75 | Long             | EC               | CORP              | JP        |      46800 | NS      | $1712223.19   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS KRW                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-335628.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hexagon AB                                          | Hexagon AB                                                                                                             | CUSIP: 000000000<br>LEI: 549300WJFW6ILNI4TA80 | Long             | EC               | CORP              | SE        |     669623 | NS      | $7021058.81   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS AUD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-487802.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-125682.19   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    -700000 | OU      | $-2088.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     500000 | PA      | $359163.75    | 0.01%             | 2050-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1000000 | OU      | $-1281.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1162740.82  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DORIC NIMROD 2013-1 CL A                            | Doric Nimrod Air Alpha 2013-1 Class A Pass Through Trust                                                               | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |     139702 | PA      | $138638.65    | 0.00%             | 2023-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        702 | PA      | $90.09        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $119747.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                    | CVC Cordatus Loan Fund XV DAC                                                                                          | CUSIP: 000000000<br>LEI: 549300HHKDR21JP15S93 | Long             | ABS-CBDO         | CORP              | IE        |    4750000 | PA      | $4914031.64   | 0.08%             | 2032-08-26      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                         | Corp Nacional del Cobre de Chile                                                                                       | CUSIP: 21987BBC1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    4000000 | PA      | $3609500.00   | 0.06%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2015000 | PA      | $1996325.79   | 0.03%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Manhattan West                                      | Manhattan West 2020-1MW Mortgage Trust                                                                                 | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $1963760.93   | 0.03%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                         | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1400000 | PA      | $1179515.47   | 0.02%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Aozora Bank Ltd                                     | Aozora Bank Ltd                                                                                                        | CUSIP: 000000000<br>LEI: X0XUGKC9FD2CYUQNC010 | Long             | EC               | CORP              | JP        |     111800 | NS      | $2197390.91   | 0.04%             |  |  |  | No            |                  2 | On Loan: —       |
| BT Group PLC                                        | BT Group PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LRO7NS5CYQMN21 | Long             | EC               | CORP              | GB        |    1222300 | NS      | $1650441.19   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                            | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $634042.25    | 0.01%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY TRADING LLC                            | QatarEnergy Trading LLC                                                                                                | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     200000 | PA      | $152912.50    | 0.00%             | 2041-07-12      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| HeidelbergCement AG                                 | HeidelbergCement AG                                                                                                    | CUSIP: 000000000<br>LEI: LZ2C6E0W5W7LQMX5ZI37 | Long             | EC               | CORP              | DE        |      27000 | NS      | $1529957.07   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Husqvarna AB                                        | Husqvarna AB                                                                                                           | CUSIP: 000000000<br>LEI: 549300GYQIIJ3UXB7655 | Long             | EC               | CORP              | SE        |     102400 | NS      | $719198.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $132.94       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   14480000 | OU      | $3467.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                   | Johnson & Johnson                                                                                                      | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     149145 | NS      | $26346464.25  | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-10340.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                      | CWABS Asset-Backed Certificates Trust 2006-11                                                                          | CUSIP: 12666TAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1037530.67   | 0.02%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                                | Saudi Arabian Oil Co                                                                                                   | CUSIP: 80414L2M6<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    1000000 | PA      | $673625.00    | 0.01%             | 2070-11-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32014250 | PA      | $31625235.56  | 0.54%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | FRANCE GOVERNMENT OAT BOND                                                                                             | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |    1600000 | NC      | $658693.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                 | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1300000 | PA      | $1044875.00   | 0.02%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                         | Vistra Corp                                                                                                            | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     375000 | PA      | $341854.58    | 0.01%             | N/A             | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $186282.99    | 0.00%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5574 | PA      | $5487.14      | 0.00%             | 2061-08-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                            | Saudi Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    3600000 | PA      | $3173175.00   | 0.05%             | 2046-10-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS AUD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-52732.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                    | Kilroy Realty LP                                                                                                       | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     200000 | PA      | $191492.22    | 0.00%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Swiss Life Holding AG                               | Swiss Life Holding AG                                                                                                  | CUSIP: 000000000<br>LEI: 5493000KUC3Z24U77V93 | Long             | EC               | CORP              | CH        |       1450 | NS      | $747415.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE WTI Crude Oil s Contract                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -41 | NC      | $-71959.69    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | TWD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $741.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Johnson Controls International                      | Johnson Controls International plc                                                                                     | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | US        |      75284 | NS      | $4818176.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Humana Inc                                          | Humana Inc                                                                                                             | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |      10080 | NS      | $5162875.20   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Primary Aluminum                                                                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        -23 | NC      | $2288.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | French Government Bond s                                                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -229 | NC      | $2218537.55   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                            | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   21900660 | PA      | $23132019.30  | 0.40%             | 2025-05-26      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                                   | Euronext Milling Wheat                                                                                                 | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         15 | NC      | $-24875.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2007-QS3 Trust                                                                                             | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1455490 | PA      | $1124975.03   | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37000000 | PA      | $31470234.56  | 0.54%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | ILS/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $21807.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS ROLLS-ROYCE PLC SNR                                                                                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-20597.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-152.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corp                                 | Dollar General Corp                                                                                                    | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |      24171 | NS      | $5952108.75   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Post AG                                    | Deutsche Post AG                                                                                                       | CUSIP: 000000000<br>LEI: 8ER8GIG7CSMVD8VUFE78 | Long             | EC               | CORP              | DE        |     166000 | NS      | $6212827.75   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $667.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $717.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                    | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1100000 | PA      | $1109554.13   | 0.02%             | 2026-02-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-147055.02   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $83405.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | CDS GS_21-PJ-A                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $1955.52      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                      | IndyMac INDX Mortgage Loan Trust 2005-AR12                                                                             | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1291550 | PA      | $1185575.13   | 0.02%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1764117.26   | 0.03%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   -1300000 | OU      | $-1191.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SITE Centers Corp                                   | SITE Centers Corp                                                                                                      | CUSIP: 82981J109<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | EC               | CORP              | US        |      58815 | NS      | $803412.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Camden Property Trust                               | Camden Property Trust                                                                                                  | CUSIP: 133131102<br>LEI: 5493002MYX22OHYJBD89 | Long             | EC               | CORP              | US        |      10004 | NS      | $1119247.52   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1020796 | PA      | $1164819.46   | 0.02%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -3000000 | OU      | $14065.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                       | GS Mortgage-Backed Securities Trust 2021-GR2                                                                           | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875502 | PA      | $702761.38    | 0.01%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4400000 | PA      | $3236050.63   | 0.06%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | TRS BCOMTR INDEX                                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |          1 | NC      | $-16358.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | CZK/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4525.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                             | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16441.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIKE Inc                                            | NIKE Inc                                                                                                               | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |      23595 | NS      | $2760850.95   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ECUADOR                                 | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     223200 | PA      | $86392.35     | 0.00%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                           | Shell PLC                                                                                                              | CUSIP: 000000000<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     468600 | NS      | $13210216.92  | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP CDS CDX.NA.IG.38.V1                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -16090000 | OU      | $-53.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Buzzi Unicem SpA                                    | Buzzi Unicem SpA                                                                                                       | CUSIP: 000000000<br>LEI: 5299003DX5YLKSVJ6K59 | Long             | EC               | CORP              | IT        |      97700 | NS      | $1882691.76   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         23 | NC      | $-223449.60   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Old Dominion Freight Line Inc                       | Old Dominion Freight Line Inc                                                                                          | CUSIP: 679580100<br>LEI: 5299009TWK32WE417T96 | Long             | EC               | CORP              | US        |       4954 | NS      | $1405846.12   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2900000 | OU      | $-8045.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-1587.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-82                                                                                         | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1464391 | PA      | $1141442.44   | 0.02%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp                             | SBA Communications Corp                                                                                                | CUSIP: 78410G104<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | EC               | CORP              | US        |      15855 | NS      | $4444315.05   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS AUD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1256906.70   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES (USA) LLC                             | U S TREASURY                                                                                                           | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Long             | RA               | CORP              | US        |    2000000 | PA      | $2000000.00   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |   17600000 | OU      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $33107.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                              | Kazakhstan Government International Bond                                                                               | CUSIP: 486661AH4<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    1400000 | PA      | $1449700.00   | 0.02%             | 2045-07-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $-2685.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Teijin Ltd                                          | Teijin Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 3538000RF6UCIMPKCO54 | Long             | EC               | CORP              | JP        |     139000 | NS      | $1354584.57   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $46922.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2007-WFHE2                                                                               | CUSIP: 17312BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7534217 | PA      | $7327849.53   | 0.13%             | 2037-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-342865.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                      | RASC Series 2006-KS3 Trust                                                                                             | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167846 | PA      | $164498.44    | 0.00%             | 2036-04-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-10864.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indutrade AB                                        | Indutrade AB                                                                                                           | CUSIP: 000000000<br>LEI: 549300FISLQ6CEFP1867 | Long             | EC               | CORP              | SE        |     104350 | NS      | $2116165.22   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14044.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spotify Technology SA                               | Spotify Technology SA                                                                                                  | CUSIP: 000000000<br>LEI: 549300B4X0JHWV0DTD60 | Long             | EC               | CORP              | SE        |      25078 | NS      | $1979908.10   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4965.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                              | Oman Government International Bond                                                                                     | CUSIP: 68205LAT0<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    1000000 | PA      | $961750.00    | 0.02%             | 2051-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Kanamoto Co Ltd                                     | Kanamoto Co Ltd                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      92800 | NS      | $1588644.81   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-274523.71   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EG FINCO LTD                                        | EG Finco Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 2138003OUK4UQHRJLT65 | Long             | LON              | CORP              | GB        |     861034 | PA      | $832980.43    | 0.01%             | 2025-02-05      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $19071.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | EURO-BUND                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          1 | NC      | $-9185.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Swedbank AB                                         | Swedbank AB                                                                                                            | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | EC               | CORP              | SE        |     122000 | NS      | $2075106.25   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781892 | PA      | $636614.71    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                            | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                              | CUSIP: 71568PAK5<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    2600000 | PA      | $2039050.00   | 0.03%             | 2049-07-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Applied Materials Inc                               | Applied Materials Inc                                                                                                  | CUSIP: 038222105<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | EC               | CORP              | US        |      36363 | NS      | $3541028.94   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                            | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397A78<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $684382.25    | 0.01%             | 2023-11-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $56927.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rational AG                                         | Rational AG                                                                                                            | CUSIP: 000000000<br>LEI: 529900K139N6UFJ1A758 | Long             | EC               | CORP              | DE        |        694 | NS      | $412116.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | US 10YR ULTRA                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -534 | NC      | $438843.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | TRS BNPIPRMT INDEX                                                                                                     | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DE               | CORP              | CH        |          1 | NC      | $-653329.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-77832.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/DKK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-142267.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $18763.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11858.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3837.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | MYR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15179.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                             | Home Equity Asset Trust                                                                                                | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107623 | PA      | $104531.88    | 0.00%             | 2034-08-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                    | TotalEnergies SE                                                                                                       | CUSIP: 89151E109<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |     444000 | NS      | $27563520.00  | 0.47%             |  |  |  | No            |                  1 | On Loan: —       |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   32571626 | PA      | $3437097.57   | 0.06%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Equifax Inc                                         | Equifax Inc                                                                                                            | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Long             | EC               | CORP              | US        |      13693 | NS      | $2661371.48   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-212100.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6585.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14860000 | OU      | $-19205.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                      | Carlyle Global Market Strategies CLO 2015-4 Ltd                                                                        | CUSIP: 14311NAL8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    2430000 | PA      | $2389260.08   | 0.04%             | 2032-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-6790.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1ST                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-3944.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS TREASURY BOND                                                                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $164294.40    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Soybean                                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-872.69      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NTT                                                 | Nippon Telegraph & Telephone Corp                                                                                      | CUSIP: 000000000<br>LEI: 353800VHQU5VIXVUA841 | Long             | EC               | CORP              | JP        |     130900 | NS      | $3733073.11   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ESCROW BOND (52517PQ46)                      | LEHMAN ESCROW BONDS ORIGINAL CUSIP:52517PQ46 LEHMAN BROTHERS HOLDINGS INC FLOAT% 12/23/24 ESCROW BONDS ISSUED 04/17/12 | CUSIP: 000000000<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |     200000 | PA      | $700.00       | 0.00%             | 2099-12-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1518.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20504880 | PA      | $18761805.06  | 0.32%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10293535 | PA      | $9517054.44   | 0.16%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Spirax-Sarco Engineering PLC                        | Spirax-Sarco Engineering PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800WFVZQMHOZP2W17 | Long             | EC               | CORP              | GB        |      24079 | NS      | $3075624.81   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Towa Pharmaceutical Co Ltd                          | Towa Pharmaceutical Co Ltd                                                                                             | CUSIP: 000000000<br>LEI: 35380036BH1C3PNO2426 | Long             | EC               | CORP              | JP        |      98400 | NS      | $1588422.67   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2022-INV1                                                                                     | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3504978 | PA      | $2921318.13   | 0.05%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Porsche Automobil Holding SE                        | Porsche Automobil Holding SE                                                                                           | CUSIP: 000000000<br>LEI: 52990053Z17ZYM1KFV27 | Long             | EP               | CORP              | DE        |      22100 | NS      | $1205244.42   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     375000 | PA      | $175722.66    | 0.00%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $587.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | CHF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $72643.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-2627.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | COMEX Gold 100 Troy Ounces                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        -14 | NC      | $-59610.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $-1026.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T                      | STWD 2021-HTS Mortgage Trust                                                                                           | CUSIP: 78486DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1933739.00   | 0.03%             | 2034-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                   | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $483789.01    | 0.01%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                           | Toronto-Dominion Bank/The                                                                                              | CUSIP: 891160509<br>LEI: PT3QB789TSUIDF371261 | Long             | EC               | CORP              | CA        |     125464 | NS      | $8123655.01   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Elevation CLO Ltd                                   | Elevation CLO 2017-6 Ltd                                                                                               | CUSIP: 28622PAA1<br>LEI: 549300TLJB7OIA4JRG73 | Long             | ABS-CBDO         | CORP              | KY        |     414681 | PA      | $410073.01    | 0.01%             | 2029-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $330.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |   -3100000 | OU      | $-49376.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         11 | NC      | $30244.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Prima Meat Packers Ltd                              | Prima Meat Packers Ltd                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      34100 | NS      | $567509.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     300000 | PA      | $175462.50    | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Energy Select Sector SPDR Fund                      | Energy Select Sector SPDR Fund                                                                                         | CUSIP: 81369Y506<br>LEI: 54930064FLK0RD4TRU75 | Long             | EC               | RF                | US        |     286492 | NS      | $25059455.24  | 0.43%             |  |  |  | No            |                  1 | On Loan: —       |
| NATIONSTAR MTG HLD INC                              | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     745000 | PA      | $609520.25    | 0.01%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT US Long Bond                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -106 | NC      | $69622.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1093.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2005-4                                                                                  | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13312 | PA      | $9687.95      | 0.00%             | 2035-07-19      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Koninklijke Ahold Delhaize NV                       | Koninklijke Ahold Delhaize NV                                                                                          | CUSIP: 000000000<br>LEI: 724500C9GNBV20UYRX36 | Long             | EC               | CORP              | NL        |     204400 | NS      | $5876762.67   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2007-18                                                                                | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72422 | PA      | $40142.27     | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $58389.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                   | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     200000 | PA      | $176934.56    | 0.00%             | N/A             | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JB Hi-Fi Ltd                                        | JB Hi-Fi Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 529900TPC8H040Y3ZQ65 | Long             | EC               | CORP              | AU        |      13410 | NS      | $382208.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mercedes-Benz Group AG                              | Mercedes-Benz Group AG                                                                                                 | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Long             | EC               | CORP              | DE        |      60400 | NS      | $3949855.03   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP CDS ITRAXX.EUR.37.V1                                                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -1700000 | OU      | $-324.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -74600000 | PA      | $-60684135.40 | -1.04%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $35602.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-190648.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASML Holding NV                                     | ASML Holding NV                                                                                                        | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      22649 | NS      | $12375413.60  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS NORTH AM                             | United Rentals North America Inc                                                                                       | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1033094.84   | 0.02%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS ITRAXX.EUR.38.V1                                                                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $168084.27    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA CORP                                         | Vistra Operations Co LLC                                                                                               | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     965000 | PA      | $898037.12    | 0.02%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-56441.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                               | Mountain View CLO 2013-1 Ltd                                                                                           | CUSIP: 62431UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1971272.20   | 0.03%             | 2030-10-12      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                        | Calpine Corp                                                                                                           | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     500000 | PA      | $430856.54    | 0.01%             | 2029-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| ODBRCHT OFFSHRE DRLL FIN                            | Odebrecht Offshore Drilling Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |    1920873 | PA      | $505789.87    | 0.01%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| General Electric Co                                 | General Electric Co                                                                                                    | CUSIP: 369604301<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     185030 | NS      | $15503663.70  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $751571.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | BCOM INDEX                                                                                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |   -3901500 | NC      | $-8262.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Public Storage                                      | Public Storage                                                                                                         | CUSIP: 74460D109<br>LEI: 549300LMZF40TKJ6DM64 | Long             | EC               | CORP              | US        |      33176 | NS      | $9295583.44   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $2784.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $45906.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | 10 YEAR US TREASURY NOTE                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -515 | NC      | $407629.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Industries Holdings Inc                          | CF Industries Holdings Inc                                                                                             | CUSIP: 125269100<br>LEI: 529900CG8YAQFZ2JMV97 | Long             | EC               | CORP              | US        |      77444 | NS      | $6598228.80   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Renaissance Home Equity Loan T                      | Renaissance Home Equity Loan Trust 2007-3                                                                              | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503111 | PA      | $231839.42    | 0.00%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems Inc                          | Cadence Design Systems Inc                                                                                             | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |      47471 | NS      | $7625741.44   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   30455427 | PA      | $3212357.04   | 0.06%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS MEHCO CAL22                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-870.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6950.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aristocrat Leisure Ltd                              | Aristocrat Leisure Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 529900TE2HO3OZKYKC27 | Long             | EC               | CORP              | AU        |     154141 | NS      | $3176199.56   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                             | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                                           | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | PA      | $378296.41    | 0.01%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/ILS FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $110117.84    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                 | Dominion Energy Inc                                                                                                    | CUSIP: 25746U109<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | EC               | CORP              | US        |     153772 | NS      | $9429299.04   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                             | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $689223.26    | 0.01%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                      | ICG US CLO 2014-3 Ltd                                                                                                  | CUSIP: 44929FBA9<br>LEI: 635400HSQQQ24A9NAK80 | Long             | ABS-CBDO         | CORP              | KY        |    4987806 | PA      | $4927476.44   | 0.08%             | 2031-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      15375 | PA      | $1623.78      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                            | Elanco Animal Health Inc                                                                                               | CUSIP: 28414H202<br>LEI: 549300SHPNDCE059M934 | Long             | EP               | CORP              | US        |       9249 | NS      | $180632.97    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                    | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $254569.08    | 0.00%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                | Paraguay Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1100000 | PA      | $944487.50    | 0.02%             | 2050-03-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9500000 | PA      | $5331230.22   | 0.09%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $1307.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CubeSmart                                           | CubeSmart                                                                                                              | CUSIP: 229663109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      35824 | NS      | $1441916.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Residential Asset Securities C                      | RASC Series 2006-KS7 Trust                                                                                             | CUSIP: 75406XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2188947 | PA      | $2112473.44   | 0.04%             | 2036-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                                    | Coca-Cola Co/The                                                                                                       | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     118008 | NS      | $7506488.88   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24              | SFE 3 YEAR AUSTRALIAN BOND                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        167 | NC      | $-156681.89   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5037600 | PA      | $6004346.79   | 0.10%             | 2045-07-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | CZK/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18633.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2021-INV4                                                                                     | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4041402 | PA      | $3368415.90   | 0.06%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | ILS/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $95704.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP                            | Sally Holdings LLC / Sally Capital Inc                                                                                 | CUSIP: 79546VAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $866901.11    | 0.01%             | 2025-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS JAGUAR LAND ROVER                                                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-103508.99   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1S                                                                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-3052.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                            | Diamond Sports Group LLC                                                                                               | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |    1272017 | PA      | $153701.63    | 0.00%             | 2026-08-24      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-9249.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ODBRCHT OFFSHRE DRLL FIN                            | Odebrecht Offshore Drilling Finance Ltd                                                                                | CUSIP: 67576GAD9<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |      32264 | PA      | $8495.51      | 0.00%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | PLN/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2351.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | TRS BCKTBC11 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DE               | CORP              | CH        |          1 | NC      | $-67.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Nickel                                                                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-1560.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17470000 | OU      | $-29745.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-41676.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp                                        | Comcast Corp                                                                                                           | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |     177557 | NS      | $6209168.29   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS DE TESORERIA                                  | Peru Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1600000 | PA      | $370406.90    | 0.01%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                       | Thornburg Mortgage Securities Trust 2007-3                                                                             | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27164 | PA      | $25268.87     | 0.00%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-241758.89   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Haleon PLC                                          | Haleon PLC                                                                                                             | CUSIP: 000000000<br>LEI: 549300PSB3WWEODCUP19 | Long             | EC               | CORP              | GB        |     592300 | NS      | $2343503.95   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                       | First Franklin Mortgage Loan Trust 2006-FF10                                                                           | CUSIP: 32028HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526152 | PA      | $491861.40    | 0.01%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                         | CDS CMBX.NA.AAA.8                                                                                                      | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $502.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $12204.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5857.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                 | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1000000 | PA      | $691548.41    | 0.01%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                            | European Investment Bank                                                                                               | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | N/A       |    2900000 | PA      | $1936209.74   | 0.03%             | 2023-08-10      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                      | First Horizon Mortgage Pass-Through Trust 2007-AR1                                                                     | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107446 | PA      | $46408.47     | 0.00%             | 2037-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Mitsubishi Chemical Group Corp                      | Mitsubishi Chemical Group Corp                                                                                         | CUSIP: 000000000<br>LEI: 353800YNKX4RQUGAR072 | Long             | EC               | CORP              | JP        |     143700 | NS      | $743937.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Life Storage Inc                                    | Life Storage Inc                                                                                                       | CUSIP: 53223X107<br>LEI: W9EE01AFDDF9DQCQZC68 | Long             | EC               | CORP              | US        |      19200 | NS      | $1891200.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Sawai Group Holdings Co Ltd                         | Sawai Group Holdings Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      25500 | NS      | $795621.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                            | Ascent Resources Utica Holdings LLC / ARU Finance Corp                                                                 | CUSIP: 04364VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      53000 | PA      | $64707.86     | 0.00%             | 2027-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SHENZHEN INT'L                                      | Shenzhen International Holdings Ltd                                                                                    | CUSIP: 000000000<br>LEI: 5493002NKD14ZZMEJF98 | Long             | EC               | CORP              | HK        |     468000 | NS      | $458099.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intuit Inc                                          | Intuit Inc                                                                                                             | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      59937 | NS      | $23328679.14  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investo                      | Merrill Lynch Mortgage Investors Trust Series 2005-A8                                                                  | CUSIP: 59020UQ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2242196.88   | 0.04%             | 2036-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-506311.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Produc                      | Bear Stearns Structured Products Inc Trust 2007-R6                                                                     | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286179 | PA      | $227460.65    | 0.00%             | 2046-12-26      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                   | HSBC Holdings PLC                                                                                                      | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $460753.30    | 0.01%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/CLP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10230.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                              | Standard Chartered PLC                                                                                                 | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $914446.90    | 0.02%             | 2025-11-23      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                            | Bellis Acquisition Co PLC                                                                                              | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2254352.34   | 0.04%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    2958305 | PA      | $326670.11    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2003-9                                                                                          | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14867 | PA      | $13561.06     | 0.00%             | 2034-02-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                 | Newgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     163725 | PA      | $180456.07    | 0.00%             | 2050-12-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WP Carey Inc                                        | WP Carey Inc                                                                                                           | CUSIP: 92936U109<br>LEI: 54930042CRNE713E3Q67 | Long             | EC               | CORP              | US        |      52504 | NS      | $4103187.60   | 0.07%             |  |  |  | No            |                  1 | On Loan: —       |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -13230000 | OU      | $-75789.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                            | Venture Global Calcasieu Pass LLC                                                                                      | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      70000 | PA      | $61286.73     | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TPC Holdings Inc. SNR NTS USD (144A)                | TPC Holdings Inc. SNR NTS USD (144A)                                                                                   | CUSIP: 89238XAA2<br>LEI: 549300OPEEKKTPBXR864 | Long             | DBT              | CORP              | US        |      99361 | PA      | $99361.00     | 0.00%             | 2028-06-18      | Fixed         | 17.00%                | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16319.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 31391Q7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8727 | PA      | $8439.44      | 0.00%             | 2042-11-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                       | First Franklin Mortgage Loan Trust 2006-FF5                                                                            | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $989710.48    | 0.02%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $180855.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                  | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1000000 | PA      | $188666.81    | 0.00%             | 2032-01-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF SPAIN                                    | Spain Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $246581.07    | 0.00%             | 2029-04-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                   | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $532852.59    | 0.01%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1700000 | PA      | $1052291.12   | 0.02%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS CDX.NA.IG.38.V1                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-160743.44   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1947.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-165989.15   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi Gas Chemical Co Inc                      | Mitsubishi Gas Chemical Co Inc                                                                                         | CUSIP: 000000000<br>LEI: 529900G5O4J27ZPLJJ89 | Long             | EC               | CORP              | JP        |     148900 | NS      | $2046863.88   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CALPINE CORP                                        | Calpine Corp                                                                                                           | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     700000 | PA      | $626589.31    | 0.01%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8664.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                      | Structured Asset Mortgage Investments II Trust 2004-AR5                                                                | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2406 | PA      | $2239.28      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica                      | ABFC 2005-WF1 Trust                                                                                                    | CUSIP: 04542BLZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145203 | PA      | $144782.52    | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC              | TRS DWRTFT INDEX                                                                                                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-69191.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8319.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOMBARDIER INC                                      | Bombardier Inc                                                                                                         | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    2025000 | PA      | $1968057.00   | 0.03%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| UBS Securities LLC                                  | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $28794.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                                 | Malaysia Government Bond                                                                                               | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   17800000 | PA      | $4044054.94   | 0.07%             | 2023-03-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | SWOP CDS CDX.NA.HY.39.V1                                                                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |   -2440000 | OU      | $-1251.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                    | Freddie Mac Strips                                                                                                     | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167861 | PA      | $164838.98    | 0.00%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                        | Danaher Corp                                                                                                           | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |      35912 | NS      | $9531763.04   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2007-AHL1                                                                                | CUSIP: 17311VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2638007 | PA      | $2576566.79   | 0.04%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $110798.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Airlines Co Ltd                               | Japan Airlines Co Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 3538002MH5L1QZZ93477 | Long             | EC               | CORP              | JP        |      64200 | NS      | $1307604.67   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                                 | SA Global Sukuk Ltd                                                                                                    | CUSIP: 78397PAD3<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |     700000 | PA      | $596225.00    | 0.01%             | 2031-06-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO INTERINSURANC                            | Doctors Co An Interinsurance Exchange/The                                                                              | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     200000 | PA      | $161963.52    | 0.00%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   12799425 | PA      | $1333946.16   | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                            | Republic of South Africa Government International Bond                                                                 | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1000000 | PA      | $1013448.54   | 0.02%             | 2026-07-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                      | CARLYLE US CLO 2021-11 LTD                                                                                             | CUSIP: 143122AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6815082.40   | 0.12%             | 2033-01-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                 | Newgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     358725 | PA      | $350831.80    | 0.01%             | 2050-12-01      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | NOK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $91977.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $741548.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC              | TRS DWRTFT                                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-39807.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-99992.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $42.94        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-89353.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alphabet Inc                                        | Alphabet Inc                                                                                                           | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |     528968 | NS      | $46670846.64  | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8010578 | PA      | $6446204.40   | 0.11%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2005-ALT1                                                                                     | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30292 | PA      | $23622.66     | 0.00%             | 2035-10-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Subaru Corp                                         | Subaru Corp                                                                                                            | CUSIP: 000000000<br>LEI: 549300N244BVAEE6HH86 | Long             | EC               | CORP              | JP        |      83300 | NS      | $1261168.51   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Premier Foods PLC                                   | Premier Foods PLC                                                                                                      | CUSIP: 000000000<br>LEI: 213800ZD5I8XHNMCJA67 | Long             | EC               | CORP              | GB        |     672846 | NS      | $876742.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS KRW                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-87035.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | S&P500 EMINI                                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |       1370 | NC      | $-7732366.33  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | GOLDLNPM INDEX                                                                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |     -40000 | NC      | $-257.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1000000 | OU      | $-13241.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $53497.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2006-40T1                                                                                       | CUSIP: 02148KAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1061371 | PA      | $313722.11    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| iShares TIPS Bond ETF                               | iShares TIPS Bond ETF                                                                                                  | CUSIP: 464287176<br>LEI: 549300EHD1VQKMRQ0829 | Long             | EC               | RF                | US        |     181246 | NS      | $19291824.24  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Resimac                                             | RESIMAC Bastille Trust Series 2019-1NC                                                                                 | CUSIP: 76119UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     253036 | PA      | $251573.92    | 0.00%             | 2057-09-05      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                            | Venture Global Calcasieu Pass LLC                                                                                      | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      45000 | PA      | $38362.89     | 0.00%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                               | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    8170000 | PA      | $2312110.00   | 0.04%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                               | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AL1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     175000 | PA      | $84395.50     | 0.00%             | 2031-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UnipolSai Assicurazioni SpA                         | UnipolSai Assicurazioni SpA                                                                                            | CUSIP: 000000000<br>LEI: 815600E31C4E7006AB54 | Long             | EC               | CORP              | IT        |     759000 | NS      | $1868618.75   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2100000 | OU      | $-30627.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPM International Inc                               | RPM International Inc                                                                                                  | CUSIP: 749685103<br>LEI: 549300TJCKW4BRXPJ474 | Long             | EC               | CORP              | US        |      64176 | NS      | $6253951.20   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-56                                                                                         | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6051 | PA      | $5099.89      | 0.00%             | 2035-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/ILS FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $128834.06    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Lead                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        -12 | NC      | $-148315.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMETEK Inc                                          | AMETEK Inc                                                                                                             | CUSIP: 031100100<br>LEI: 549300WZDEF9KKE40E98 | Long             | EC               | CORP              | US        |      38344 | NS      | $5357423.68   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Hartford Financial Services Gr                      | Hartford Financial Services Group Inc/The                                                                              | CUSIP: 416515104<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | EC               | CORP              | US        |     178012 | NS      | $13498649.96  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED RENTALS NORTH AM                             | United Rentals North America Inc                                                                                       | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      25000 | PA      | $20421.32     | 0.00%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ICE Endex                                           | TTF Natural Gas Base Load Monthly                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | NL        |         -4 | NC      | $236128.58    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Shin-Etsu Chemical Co Ltd                           | Shin-Etsu Chemical Co Ltd                                                                                              | CUSIP: 000000000<br>LEI: 353800PX8Q64N86H5W41 | Long             | EC               | CORP              | JP        |      35100 | NS      | $4286138.68   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                      | Securitized Asset Backed Receivables LLC Trust 2005-OP2                                                                | CUSIP: 81375WGV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1038559 | PA      | $987620.79    | 0.02%             | 2035-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Essex Property Trust Inc                            | Essex Property Trust Inc                                                                                               | CUSIP: 297178105<br>LEI: 549300TR2H2VEFX0NC60 | Long             | EC               | CORP              | US        |      11298 | NS      | $2394272.16   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12612.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4908000 | PA      | $4874178.97   | 0.08%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-27563.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     720000 | PA      | $558437.71    | 0.01%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equitie                      | Alexandria Real Estate Equities Inc                                                                                    | CUSIP: 015271109<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | EC               | CORP              | US        |      36844 | NS      | $5367065.48   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Housing Development Finance Co                      | Housing Development Finance Corp Ltd                                                                                   | CUSIP: 000000000<br>LEI: 335800OX2H9AP7NHLT64 | Long             | EC               | CORP              | IN        |     225146 | NS      | $7157608.48   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Gunma Bank Ltd/The                                  | Gunma Bank Ltd/The                                                                                                     | CUSIP: 000000000<br>LEI: 54930054A69VC4I5BP89 | Long             | EC               | CORP              | JP        |     371000 | NS      | $1416965.15   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                      | Eli Lilly & Co                                                                                                         | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |      19739 | NS      | $7221315.76   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20505000 | PA      | $15667101.56  | 0.27%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-4872.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2006-OA11                                                                                       | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25118 | PA      | $23098.24     | 0.00%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |   -1600000 | OU      | $-615890.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                               | TRS COM FWD BAPA CAL23                                                                                                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DE               | CORP              | US        |          1 | NC      | $-82457.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vanguard Real Estate ETF                            | Vanguard Real Estate ETF                                                                                               | CUSIP: 922908553<br>LEI: N/A                  | Long             | EC               | RF                | US        |     269891 | NS      | $22260609.68  | 0.38%             |  |  |  | No            |                  1 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $116048.24    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                               | Guatemala Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     500000 | PA      | $468687.50    | 0.01%             | 2050-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| IndyMac INDA Mortgage Loan Tru                      | IndyMac INDA Mortgage Loan Trust 2005-AR1                                                                              | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2545 | PA      | $2402.64      | 0.00%             | 2035-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                               | Texas Instruments Inc                                                                                                  | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |      35034 | NS      | $5788317.48   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | THREE-MONTH SOFR                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-1500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2005-AR1                                                                                       | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3299 | PA      | $2988.74      | 0.00%             | 2035-01-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                            | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     500000 | PA      | $482027.22    | 0.01%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust                                       | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25367 | PA      | $15460.05     | 0.00%             | 2046-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -16300000 | OU      | $-15208.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $216199.04    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -1000000 | OU      | $-13893.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                   | Generate CLO 2 Ltd                                                                                                     | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1975358.60   | 0.03%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Volvo AB                                            | Volvo AB                                                                                                               | CUSIP: 928856301<br>LEI: 549300HGV012CNC8JD22 | Long             | EC               | CORP              | SE        |     251900 | NS      | $4550220.25   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | TRS BCOMTR INDEX                                                                                                       | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DE               | CORP              | FR        |          1 | NC      | $-21019.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-30146.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | NYBOT CSC C COFFEE                                                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -6 | NC      | $1956.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications Inc                          | Verizon Communications Inc                                                                                             | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |      63200 | NS      | $2490080.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | EURO-BUND                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -12 | NC      | $-73171.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                            | FirstEnergy Transmission LLC                                                                                           | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     280000 | PA      | $260279.20    | 0.00%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | CITIGROUP MORTGAGE LOAN TRUST 2021-INV2                                                                                | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1040020 | PA      | $834818.77    | 0.01%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                            | Spain Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1000000 | PA      | $483436.63    | 0.01%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140MHSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194378 | PA      | $158370.23    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| International Consolidated Air                      | International Consolidated Airlines Group SA                                                                           | CUSIP: 000000000<br>LEI: 959800TZHQRUSH1ESL13 | Long             | EC               | CORP              | GB        |     396900 | NS      | $591047.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LVMH Moet Hennessy Louis Vuitt                      | LVMH Moet Hennessy Louis Vuitton SE                                                                                    | CUSIP: 000000000<br>LEI: IOG4E947OATN0KJYSD45 | Long             | EC               | CORP              | FR        |      22108 | NS      | $16087843.01  | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1ST                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-5174.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                       | GS Mortgage-Backed Securities Trust 2022-LTV2                                                                          | CUSIP: 36266PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1378650 | PA      | $1106635.44   | 0.02%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $322125.00    | 0.01%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Prologis Inc                                        | Prologis Inc                                                                                                           | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               | CORP              | US        |     143023 | NS      | $16122982.79  | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | CDS COLOMBIA LA SP                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-29012.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $49283.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS COM FWD QSCOCAL                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $7907.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6590.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   10566724 | PA      | $1031412.64   | 0.02%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                             | United Kingdom Inflation-Linked Gilt                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1526268 | PA      | $1733382.14   | 0.03%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| iShares Russell 1000 Value ETF                      | iShares Russell 1000 Value ETF                                                                                         | CUSIP: 464287598<br>LEI: 549300KLSYN5NN4YNM90 | Long             | EC               | RF                | US        |     221750 | NS      | $33628387.50  | 0.58%             |  |  |  | No            |                  1 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $249893.23    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2006-NC2                                                                                                   | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     942223 | PA      | $497830.32    | 0.01%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $95131.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Adobe Inc                                           | Adobe Inc                                                                                                              | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |      28029 | NS      | $9432599.37   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2005-A6                                                                                       | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6462 | PA      | $5929.80      | 0.00%             | 2035-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $8568.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44070000 | PA      | $43696137.00  | 0.75%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                  | TSE Japanese 10 Year Bond s                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |         50 | NC      | $-1054044.12  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10983.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE BANK NA                           | US CPI URBAN CONSUMERS NSA                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -600000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-453269.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $13079.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3788.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-285743.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |    -500000 | OU      | $-243.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS CDX.NA.IG.39.V1                                                                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $306968.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST                               | Rio Oil Finance Trust Series 2014-3                                                                                    | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1145671 | PA      | $1184387.62   | 0.02%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3033.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Healthpeak Properties Inc                           | Healthpeak Properties Inc                                                                                              | CUSIP: 42250P103<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | EC               | CORP              | US        |     132682 | NS      | $3326337.74   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -26939351 | PA      | $-26612003.22 | -0.46%            | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                            | Cooperatieve Rabobank UA                                                                                               | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $256094.94    | 0.00%             | 2033-04-06      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                             | Jersey Central Power & Light Co                                                                                        | CUSIP: 476556DB8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     700000 | PA      | $690407.91    | 0.01%             | 2024-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-3574881.64  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                     | Venture 28A Clo Ltd                                                                                                    | CUSIP: 92331DAW8<br>LEI: 549300NQLVRN86RJ6081 | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3879990.00   | 0.07%             | 2034-10-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS KRW                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-148519.22   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                            | OCP SA                                                                                                                 | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     300000 | PA      | $225712.50    | 0.00%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Ltd                        | Canadian Pacific Railway Ltd                                                                                           | CUSIP: 13645T100<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |     222744 | NS      | $16614474.96  | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| BOFA SECURITIES, INC.                               | TRS COM FWD COCAL23                                                                                                    | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DE               | CORP              | US        |          1 | NC      | $3837.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | Eurex 2 Year Euro SCHATZ                                                                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -981 | NC      | $1349474.71   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PFP III                                             | PFP 2021-8 Ltd                                                                                                         | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     834529 | PA      | $795441.67    | 0.01%             | 2037-08-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7280097 | PA      | $7125995.62   | 0.12%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                        | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | EC               | CORP              | NL        |     186900 | NS      | $2276659.82   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1S                                                                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-2258.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                         | Walmart Inc                                                                                                            | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     139302 | NS      | $19751630.58  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | USD/CHF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-13858.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                           | NovaStar Mortgage Funding Trust Series 2005-3                                                                          | CUSIP: 66987XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138960 | PA      | $135899.40    | 0.00%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1425000 | PA      | $1144193.06   | 0.02%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                                                         | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41372 | PA      | $35521.45     | 0.00%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                            | Corebridge Financial Inc                                                                                               | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     500000 | PA      | $465779.34    | 0.01%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -15310000 | OU      | $-1161.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                            | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205AR5<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     600000 | PA      | $599737.50    | 0.01%             | 2025-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2582042.11  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Kamigumi Co Ltd                                     | Kamigumi Co Ltd                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      81700 | NS      | $1663250.52   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                   | Tunisian Republic                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | TN        |     200000 | PA      | $167966.99    | 0.00%             | 2024-02-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Baloise Holding AG                                  | Baloise Holding AG                                                                                                     | CUSIP: 000000000<br>LEI: 529900G5XKBZN48T6283 | Long             | EC               | CORP              | CH        |      12200 | NS      | $1881322.48   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Tesco PLC                                           | Tesco PLC                                                                                                              | CUSIP: 000000000<br>LEI: 2138002P5RNKC5W2JZ46 | Long             | EC               | CORP              | GB        |     783800 | NS      | $2112238.51   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   25815236 | PA      | $2568510.07   | 0.04%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -4500000 | OU      | $-71674.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3491331 | PA      | $3455328.20   | 0.06%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| DANA INC                                            | Dana Inc                                                                                                               | CUSIP: 235825AF3<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |     650000 | PA      | $602781.21    | 0.01%             | 2027-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2005-HYB9                                                                              | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118351 | PA      | $106763.60    | 0.00%             | 2036-02-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-299984.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2007-QH8 Trust                                                                                             | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304191 | PA      | $263476.42    | 0.00%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| iShares 0-5 Year TIPS Bond ETF                      | iShares 0-5 Year TIPS Bond ETF                                                                                         | CUSIP: 46429B747<br>LEI: 549300GIWSEGOQLZR212 | Long             | EC               | RF                | US        |      78772 | NS      | $7637733.12   | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38380TV37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15377 | PA      | $14684.44     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | CDS REPUBLIC OF TURKEY                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $-215619.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Experian PLC                                        | Experian PLC                                                                                                           | CUSIP: 000000000<br>LEI: 635400RXXHHYT1JTSZ26 | Long             | EC               | CORP              | IE        |     195089 | NS      | $6607339.66   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE                               | Banco Santander Chile                                                                                                  | CUSIP: 05970FAC5<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |    2200000 | PA      | $2081475.00   | 0.04%             | 2025-01-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | SOYBEAN OIL                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-4391.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS COM FWD QSCOCAL                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-1542.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17470000 | OU      | $-18496.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL CAP VALUE PORTFOL                             | AST SMALL CAP VALUE PORTFOLIO                                                                                          | CUSIP: 000000000<br>LEI: VJDLIUI6Q37FYO8JPJ71 | Long             | EC               | RF                | US        |    2173163 | NS      | $72388058.16  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE WTI Crude Oil s Contract                                                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -19 | NC      | $-4026.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | Eurex 30 Year Euro BUXL                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -37 | NC      | $744119.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS MEXICANOS                                 | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   10152000 | PA      | $6465605.76   | 0.11%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | COP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14234.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-9034.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1400000 | OU      | $-991.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                             | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-11521.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $567.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HashiCorp Inc                                       | HashiCorp Inc                                                                                                          | CUSIP: 418100103<br>LEI: 549300XGOB9ZFQHMIP56 | Long             | EC               | CORP              | US        |      15737 | NS      | $430249.58    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2005-9                                                                                  | CUSIP: 41161PSV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447167 | PA      | $391011.15    | 0.01%             | 2035-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-982.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                  | Conagra Brands Inc                                                                                                     | CUSIP: 205887102<br>LEI: 54930035UDEIH090K650 | Long             | EC               | CORP              | US        |     445439 | NS      | $17238489.30  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                         | TRS COMM SWAP TBL BCOM                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |          1 | NC      | $53367.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2006-OA19                                                                                       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955621 | PA      | $719842.03    | 0.01%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                          | VMware Inc                                                                                                             | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93322.31     | 0.00%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MALAYSIA INVESTMNT ISSUE                            | Malaysia Government Investment Issue                                                                                   | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     400000 | PA      | $90820.43     | 0.00%             | 2023-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    1800000 | PA      | $177642.65    | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2006-A7                                                                                       | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355706 | PA      | $274192.89    | 0.00%             | 2037-01-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                      | CWABS Asset-Backed Certificates Trust 2006-25                                                                          | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1540713 | PA      | $1404044.56   | 0.02%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                  | USD/ZAR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5111.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              | CORP              | CH        |   -3100000 | OU      | $-1.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -32 | NC      | $-81762.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UKRAINE GOVERNMENT                                  | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1600000 | PA      | $296300.00    | 0.01%             | 2034-09-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Lead                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         12 | NC      | $93582.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   14860000 | OU      | $34088.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                      | Structured Asset Mortgage Investments II Trust 2006-AR3                                                                | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67476 | PA      | $51279.92     | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust                                                         | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164331 | PA      | $147199.72    | 0.00%             | 2035-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Kohl's Corp                                         | Kohl's Corp                                                                                                            | CUSIP: 500255104<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | EC               | CORP              | US        |     147885 | NS      | $3734096.25   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| GOLDMAN SACHS & CO. LLC                             | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-62675.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                            | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $165259.79    | 0.00%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Kingboard Holdings Ltd                              | Kingboard Holdings Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 529900G89MY26MMSDR76 | Long             | EC               | CORP              | HK        |     691500 | NS      | $2192837.40   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32550000 | PA      | $28578713.16  | 0.49%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note                      | Toyota Auto Loan Extended Note Trust 2019-1                                                                            | CUSIP: 89231XAA9<br>LEI: 549300R73PIC25YY4X12 | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2602146.06   | 0.04%             | 2031-11-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | EUR/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5894.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                      | New Century Home Equity Loan Trust 2004-4                                                                              | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     466709 | PA      | $444575.87    | 0.01%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $43328.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | USD/CAD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-966.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-1195.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                             | Charles Schwab Corp/The                                                                                                | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |      73784 | NS      | $6143255.84   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-9558.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP CO                                    | Campbell Soup Co                                                                                                       | CUSIP: 134429BE8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     887000 | PA      | $884655.12    | 0.02%             | 2023-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | USD/MXN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4064.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -2500000 | OU      | $10389.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140MGM99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285878 | PA      | $232938.45    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mitsui Chemicals Inc                                | Mitsui Chemicals Inc                                                                                                   | CUSIP: 000000000<br>LEI: 353800H2UB5ZEZRZQC02 | Long             | EC               | CORP              | JP        |      60100 | NS      | $1349894.01   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11116.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                      | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF4                                                   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731615 | PA      | $638293.84    | 0.01%             | 2036-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1400000 | PA      | $1026306.54   | 0.02%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |   -1000000 | OU      | $-1085.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                 | CBAM 2020-12 Ltd                                                                                                       | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2750000 | PA      | $2649137.43   | 0.05%             | 2034-07-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   13230000 | OU      | $2030.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $509.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PHP FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-268.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IFF                                                 | International Flavors & Fragrances Inc                                                                                 | CUSIP: 459506101<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | EC               | CORP              | US        |     110898 | NS      | $11626546.32  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-572741.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                      | BNP Paribas SA                                                                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EC               | CORP              | FR        |      76600 | NS      | $4361542.29   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                              | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    6600000 | PA      | $6599777.32   | 0.11%             | 2023-01-10      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                      | Banc of America Funding 2006 8T2 Trust                                                                                 | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9267 | PA      | $7997.33      | 0.00%             | 2036-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $356024.98    | 0.01%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J Sainsbury PLC                                     | J Sainsbury PLC                                                                                                        | CUSIP: 000000000<br>LEI: 213800VGZAAJIKJ9Y484 | Long             | EC               | CORP              | GB        |     806000 | NS      | $2113991.50   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2005-10                                                                                       | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60145 | PA      | $55346.15     | 0.00%             | 2036-01-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | J.P. Morgan Mortgage Trust 2021-INV8                                                                                   | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5992703 | PA      | $4994780.41   | 0.09%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $787.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust 2004-HYB2                                                                                | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11362 | PA      | $10554.18     | 0.00%             | 2034-03-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                       | Citigroup Inc                                                                                                          | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1082780.45   | 0.02%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                      | Option One Mortgage Loan Trust 2004-3                                                                                  | CUSIP: 68389FFU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456844 | PA      | $434220.79    | 0.01%             | 2034-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | GBP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-60886.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI Inc                                            | MSCI Inc                                                                                                               | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |      18174 | NS      | $8453999.58   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ARGENTINA                               | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    6930000 | PA      | $1874565.00   | 0.03%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $185956.36    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | HUF/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $25017.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-428100.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| First NLC Trust                                     | First NLC Trust 2007-1                                                                                                 | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714985 | PA      | $332708.19    | 0.01%             | 2037-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2007-4CB                                                                                        | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620450 | PA      | $524016.30    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Corn                                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $-115.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22080.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lululemon Athletica Inc                             | Lululemon Athletica Inc                                                                                                | CUSIP: 550021109<br>LEI: 549300D9GZ4BMLDW5T40 | Long             | EC               | CORP              | CA        |      33489 | NS      | $10729205.82  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| TBW Mortgage Backed Pass Throu                      | TBW Mortgage-Backed Trust Series 2006-4                                                                                | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283906 | PA      | $9397.79      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                       | New Residential Mortgage Loan Trust 2020-RPL1                                                                          | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1297204 | PA      | $1182114.28   | 0.02%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Isuzu Motors Ltd                                    | Isuzu Motors Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 529900C0QSXVCC7AR494 | Long             | EC               | CORP              | JP        |     195800 | NS      | $2269885.94   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $83224.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                      | NRG Energy Inc                                                                                                         | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80738.79     | 0.00%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Endesa SA                                           | Endesa SA                                                                                                              | CUSIP: 000000000<br>LEI: 549300LHK07F2CHV4X31 | Long             | EC               | CORP              | ES        |      88800 | NS      | $1673573.77   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                              | SLM Student Loan Trust 2004-3                                                                                          | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |     676053 | PA      | $648694.13    | 0.01%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                                    | OZLM Funding IV Ltd                                                                                                    | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |    3924670 | PA      | $3867998.06   | 0.07%             | 2030-10-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securitie                      | Residential Mortgage Securities 32 PLC                                                                                 | CUSIP: 000000000<br>LEI: 54930041T52UP3IPLN03 | Long             | ABS-MBS          | CORP              | GB        |    1973016 | PA      | $2372909.67   | 0.04%             | 2070-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                           | Prosus NV                                                                                                              | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    1100000 | PA      | $1056801.76   | 0.02%             | 2026-01-19      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $38271.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO LLC                              | S&P 500 INDEX                                                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |        240 | NC      | $14242446.72  | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2005-WMC1                                                                       | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1259898 | PA      | $1207064.10   | 0.02%             | 2035-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                       | Bear Stearns Mortgage Funding Trust 2006-AR5                                                                           | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     948406 | PA      | $798401.92    | 0.01%             | 2046-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE NEWCASTLE COAL                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-56259.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investo                      | Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2                                                             | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14652 | PA      | $13390.83     | 0.00%             | 2033-02-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | CDS COLOMBIA LA SP BPS                                                                                                 | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DCR              | CORP              | CH        |          1 | NC      | $-156338.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                   | NatWest Group PLC                                                                                                      | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2800000 | PA      | $2634053.80   | 0.05%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd                                           | Chubb Ltd                                                                                                              | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     101916 | NS      | $22482669.60  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Southwest Airlines Co                               | Southwest Airlines Co                                                                                                  | CUSIP: 844741108<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | EC               | CORP              | US        |     116181 | NS      | $3911814.27   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                       | GS Mortgage-Backed Securities Trust 2022-GR2                                                                           | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2168405 | PA      | $1799183.85   | 0.03%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Vesuvius PLC                                        | Vesuvius PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800ORZ521W585SY02 | Long             | EC               | CORP              | GB        |     152000 | NS      | $741146.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1024806.24  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | MXN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7394.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-6                                                                                        | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213971 | PA      | $113287.46    | 0.00%             | 2036-11-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $2477.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ResLoC UK PLC                                       | Resloc UK 2007-1 PLC                                                                                                   | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |     896014 | PA      | $1021918.55   | 0.02%             | 2043-12-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Mirvac Group                                        | Mirvac Group                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |    1104500 | NS      | $1597904.26   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-61696.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                              | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    6500000 | PA      | $6499920.38   | 0.11%             | 2023-01-06      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| TotalEnergies SE                                    | TotalEnergies SE                                                                                                       | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | EC               | CORP              | FR        |     140100 | NS      | $8794525.83   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | EUR/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11447.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Extra Space Storage Inc                             | Extra Space Storage Inc                                                                                                | CUSIP: 30225T102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       8675 | NS      | $1276786.50   | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Daicel Corp                                         | Daicel Corp                                                                                                            | CUSIP: 000000000<br>LEI: 353800ZG4XF6D7NZGS72 | Long             | EC               | CORP              | JP        |     269400 | NS      | $1938766.27   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7830.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DIR              | CORP              | US        |   -2400000 | OU      | $-16.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Nickel                                                                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-35739.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PENN ENTERTAINMENT INC                              | Penn Entertainment Inc                                                                                                 | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $271773.51    | 0.00%             | 2027-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                      | Securitized Asset Backed Receivables LLC Trust 2007-NC1                                                                | CUSIP: 81378AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4268333 | PA      | $3846471.09   | 0.07%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     350000 | PA      | $137373.74    | 0.00%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                      | Merck & Co Inc                                                                                                         | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     104358 | NS      | $11578520.10  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS INR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-718.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    3396891 | PA      | $372158.07    | 0.01%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                        | Broadcom Inc                                                                                                           | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     600000 | PA      | $472374.33    | 0.01%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      71000 | PA      | $70646.76     | 0.00%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP TRS QSCOCAL4Q22 30                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |      40000 | OU      | $3186.21      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| L'Oreal SA                                          | L'Oreal SA                                                                                                             | CUSIP: 000000000<br>LEI: 529900JI1GG6F7RKVI53 | Long             | EC               | CORP              | FR        |      15661 | NS      | $5608168.96   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $149990.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KINGDOM OF MOROCCO                                  | Morocco Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |    1600000 | PA      | $1085800.00   | 0.02%             | 2050-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-212.06      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC BANK PLC                                       | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1337.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | Three-Month SOFR                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        322 | NC      | $-106685.90   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                            | Israel Electric Corp Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |     800000 | PA      | $696400.00    | 0.01%             | 2032-02-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1403.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-174069.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |          1 | NC      | $104773.76    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $29662.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -33140000 | PA      | $-26986552.87 | -0.46%            | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1526.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9063.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE CO                               | Transurban Finance Co Pty Ltd                                                                                          | CUSIP: 89400PAE3<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |     848000 | PA      | $810885.84    | 0.01%             | 2026-02-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Dollarama Inc                                       | Dollarama Inc                                                                                                          | CUSIP: 25675T107<br>LEI: 5493002GJ0NJP1HI0C79 | Long             | EC               | CORP              | CA        |     139755 | NS      | $8173706.39   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS VARS GOLDLNPM                                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCO              | CORP              | US        |          1 | NC      | $3233.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                      | RASC Series 2005-KS10 Trust                                                                                            | CUSIP: 75405WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245485 | PA      | $244153.69    | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust Inc                                                                                      | CUSIP: 17307GP85<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $359279.40    | 0.01%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-135104.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Primary Aluminum                                                                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        -27 | NC      | $-65298.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TE Connectivity Ltd                                 | TE Connectivity Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | US        |      25891 | NS      | $2972286.80   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDEN ST TOBACCO SECURITIZATI                      | Golden State Tobacco Securitization Corp                                                                               | CUSIP: 38122NC42<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     800000 | PA      | $740682.74    | 0.01%             | 2025-06-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                       | CUSIP: 3133B53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679441 | PA      | $553567.16    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $172401.35    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                             | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-31635.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                             | United Rentals North America Inc                                                                                       | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     375000 | PA      | $315599.51    | 0.01%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $-12757.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $5032.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-417318.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/SGD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2725.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Metcash Ltd                                         | Metcash Ltd                                                                                                            | CUSIP: 000000000<br>LEI: 25490065W4SN3LZMX216 | Long             | EC               | CORP              | AU        |     744200 | NS      | $2012512.28   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | TRS IBOXIG INDEX                                                                                                       | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |          1 | NC      | $224676.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                             | European Bank for Reconstruction & Development                                                                         | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |     600000 | PA      | $399273.59    | 0.01%             | 2023-09-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Elders Ltd                                          | Elders Ltd                                                                                                             | CUSIP: 000000000<br>LEI: 254900Y0SQG962QL6549 | Long             | EC               | CORP              | AU        |     173100 | NS      | $1188199.32   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $52133.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/MXN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $65710.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Resona Holdings Inc                                 | Resona Holdings Inc                                                                                                    | CUSIP: 000000000<br>LEI: 52990067JE75XZCYYT81 | Long             | EC               | CORP              | JP        |     553800 | NS      | $3041701.09   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                               | Mexico Government International Bond                                                                                   | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4700000 | PA      | $3953287.50   | 0.07%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Safran SA                                           | Safran SA                                                                                                              | CUSIP: 000000000<br>LEI: 969500UIC89GT3UL7L24 | Long             | EC               | CORP              | FR        |      53855 | NS      | $6745554.05   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-641987.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    -300000 | OU      | $-74.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & FINANCE                             | Odebrecht Oil & Gas Finance Ltd                                                                                        | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1695809 | PA      | $4239.52      | 0.00%             | N/A             | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Daimler Truck Holding AG                            | Daimler Truck Holding AG                                                                                               | CUSIP: 000000000<br>LEI: 529900PW78JIYOUBSR24 | Long             | EC               | CORP              | DE        |      64900 | NS      | $1995138.28   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                 | Abbott Laboratories                                                                                                    | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |      73918 | NS      | $8115457.22   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF GUATEMALA                               | Guatemala Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     400000 | PA      | $383700.00    | 0.01%             | 2028-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AZERBAIJAN                              | Republic of Azerbaijan International Bond                                                                              | CUSIP: 000000000<br>LEI: 549300P74FF45UQVU281 | Long             | DBT              | NUSS              | AZ        |     886000 | PA      | $873983.63    | 0.01%             | 2024-03-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -5900000 | OU      | $-93254.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Straumann Holding AG                                | Straumann Holding AG                                                                                                   | CUSIP: 000000000<br>LEI: 50670046ML5FVIM60Z37 | Long             | EC               | CORP              | CH        |      43512 | NS      | $4989572.59   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS CDX NA.IG.37.10Y                                                                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $7566.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                                     | Lamb Weston Holdings Inc                                                                                               | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     300000 | PA      | $262023.55    | 0.00%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-990475.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    3000000 | OU      | $316923.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS COM FWD FSNGYCAL23                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $233613.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                  | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    6100000 | PA      | $1367925.00   | 0.02%             | 2025-09-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                | Tencent Holdings Ltd                                                                                                   | CUSIP: 88032XAN4<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    2000000 | PA      | $1836625.00   | 0.03%             | 2029-04-11      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                         | Oracle Corp                                                                                                            | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     700000 | PA      | $488786.31    | 0.01%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| TPC Group Rights                                    | TPC Group Rights                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      12402 | NS      | $248040.00    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Dassault Systemes SE                                | Dassault Systemes SE                                                                                                   | CUSIP: 000000000<br>LEI: 96950065LBWY0APQIM86 | Long             | EC               | CORP              | FR        |      82782 | NS      | $2976813.37   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-418719.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust                                         | CUSIP: 9393363K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297322 | PA      | $242435.46    | 0.00%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -3900000 | OU      | $-1.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                             | Nationwide Building Society                                                                                            | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3482546.90   | 0.06%             | 2024-03-08      | Fixed         | 3.77%                 | No            |                  2 | On Loan: —       |
| A2A SpA                                             | A2A SpA                                                                                                                | CUSIP: 000000000<br>LEI: 81560076E3944316DB24 | Long             | EC               | CORP              | IT        |    1409600 | NS      | $1879369.98   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AXA SA                                              | AXA SA                                                                                                                 | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | EC               | CORP              | FR        |      91300 | NS      | $2543210.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $12050.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vinci SA                                            | Vinci SA                                                                                                               | CUSIP: 000000000<br>LEI: 213800WFQ334R8UXUG83 | Long             | EC               | CORP              | FR        |     117880 | NS      | $11751105.03  | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| EG FINCO LTD                                        | EG Finco Ltd                                                                                                           | CUSIP: 000000000<br>LEI: 2138003OUK4UQHRJLT65 | Long             | LON              | CORP              | GB        |    2400000 | PA      | $2190140.70   | 0.04%             | 2027-04-30      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                             | Home Equity Asset Trust 2005-8                                                                                         | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662326 | PA      | $634705.02    | 0.01%             | 2036-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1203154 | PA      | $1182890.72   | 0.02%             | 2072-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -2000000 | OU      | $-15208.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2004-2                                                                                          | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3068 | PA      | $2799.82      | 0.00%             | 2034-05-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                      | ServiceNow Inc                                                                                                         | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      24285 | NS      | $9429136.95   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | BRL/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5432.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica SA                                       | Telefonica SA                                                                                                          | CUSIP: 879382109<br>LEI: 549300EEJH4FEPDBBR25 | Long             | EC               | CORP              | ES        |     431500 | NS      | $1562076.50   | 0.03%             |  |  |  | No            |                  2 | On Loan: —       |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15426660 | PA      | $14801380.75  | 0.25%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Globant SA                                          | Globant SA                                                                                                             | CUSIP: 000000000<br>LEI: 2221008DCMSPYS42DS88 | Long             | EC               | CORP              | UY        |      11915 | NS      | $2003626.40   | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Digital Realty Trust Inc                            | Digital Realty Trust Inc                                                                                               | CUSIP: 253868103<br>LEI: 549300HKCZ31D08NEI41 | Long             | EC               | CORP              | US        |      31384 | NS      | $3146873.68   | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| Citibank, National Association                      | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3460.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Copco AB                                      | Atlas Copco AB                                                                                                         | CUSIP: 000000000<br>LEI: 213800T8PC8Q4FYJZR07 | Long             | EC               | CORP              | SE        |     496977 | NS      | $5888381.54   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     700000 | PA      | $611596.58    | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Magna International Inc                             | Magna International Inc                                                                                                | CUSIP: 559222401<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | EC               | CORP              | CA        |      70278 | NS      | $3948218.04   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS SA                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-3212.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS EURMARG3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-5080.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-104081.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS JMABNIC5 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $649742.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $22063.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -500000 | OU      | $-6021.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                               | Guatemala Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     200000 | PA      | $191662.50    | 0.00%             | 2026-05-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | CDS COLOMBIA LA SP                                                                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-65277.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | US 10YR ULTRA                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          7 | NC      | $-3511.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-388684.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-307580.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                    | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $787633.80    | 0.01%             | 2033-01-21      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11119.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STERIS PLC                                          | STERIS PLC                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      10258 | NS      | $1894550.02   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-259731.63   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                | IHO Verwaltungs GmbH                                                                                                   | CUSIP: 44963BAE8<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    1100000 | PA      | $966625.00    | 0.02%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                                                         | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1491025 | PA      | $1253470.95   | 0.02%             | 2036-11-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT US Long Bond                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -4 | NC      | $-318.16      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Compass Group PLC                                   | Compass Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138008M6MH9OZ6U2T68 | Long             | EC               | CORP              | GB        |     539650 | NS      | $12461615.64  | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-8227.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                            | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                              | CUSIP: 71568QAL1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    2100000 | PA      | $1779487.50   | 0.03%             | 2030-02-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Nokia Oyj                                           | Nokia Oyj                                                                                                              | CUSIP: 000000000<br>LEI: 549300A0JPRWG1KI7U06 | Long             | EC               | CORP              | FI        |     654400 | NS      | $3040147.14   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                    | CIFC Funding 2021-V Ltd                                                                                                | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2928729.90   | 0.05%             | 2034-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                      | GreenPoint MTA Trust 2005-AR3                                                                                          | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626640 | PA      | $471400.83    | 0.01%             | 2045-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                 | Medline Borrower LP                                                                                                    | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     150000 | PA      | $119216.93    | 0.00%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| BNP PARIBAS SECURITIES CORP.                        | USD/ILS FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $37013.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                            | Italy Buoni Poliennali Del Tesoro                                                                                      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1400124 | PA      | $1312047.17   | 0.02%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         50 | NC      | $131278.34    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Seino Holdings Co Ltd                               | Seino Holdings Co Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 3538001D12EPCPYTTF24 | Long             | EC               | CORP              | JP        |     146500 | NS      | $1298601.40   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          8 | NC      | $-21037.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                        | COP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14133.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $70066.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEON REIT Investment Corp                           | AEON REIT Investment Corp                                                                                              | CUSIP: 000000000<br>LEI: 353800P59F8MJB4FE788 | Long             | EC               | CORP              | JP        |       1200 | NS      | $1408331.82   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CME Group Inc                                       | CME Group Inc                                                                                                          | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |      17746 | NS      | $2984167.36   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                            | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $413553.83    | 0.01%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GR/DIAMON                            | Diamond Sports Group LLC / Diamond Sports Finance Co                                                                   | CUSIP: 25277LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $2572.53      | 0.00%             | 2027-08-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                                                         | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        937 | PA      | $816.52       | 0.00%             | 2035-08-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         19 | NC      | $-96799.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Helvetia Holding AG                                 | Helvetia Holding AG                                                                                                    | CUSIP: 000000000<br>LEI: 529900SUJBXTORH0LT80 | Long             | EC               | CORP              | CH        |      16200 | NS      | $1885075.92   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| THL Credit Wind River 2019-1 C                      | THL Credit Wind River 2019-1 CLO Ltd                                                                                   | CUSIP: 97316JAC7<br>LEI: 549300TGVPUHSOMYKZ89 | Long             | ABS-CBDO         | CORP              | KY        |    3250000 | PA      | $3151747.30   | 0.05%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ICE Endex                                           | TTF Natural Gas Base Load Monthly s                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | NL        |         -3 | NC      | $70588.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140HAU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279733 | PA      | $259246.16    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-62                                                                                         | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82209 | PA      | $66415.81     | 0.00%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                 | Societe Generale SA                                                                                                    | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | EC               | CORP              | FR        |      67600 | NS      | $1695655.49   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Pandora A/S                                         | Pandora A/S                                                                                                            | CUSIP: 000000000<br>LEI: 5299007OWYZ6I1E46843 | Long             | EC               | CORP              | DK        |      17400 | NS      | $1229857.99   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                   | Jamestown CLO XIV Ltd                                                                                                  | CUSIP: 47048XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4375000 | PA      | $4246136.13   | 0.07%             | 2034-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                                                         | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        435 | PA      | $392.41       | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| ORIX Corp                                           | ORIX Corp                                                                                                              | CUSIP: 000000000<br>LEI: 35380016EMHNBOVYE123 | Long             | EC               | CORP              | JP        |     132200 | NS      | $2116079.67   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | TWD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-12012.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Avantor Inc                                         | Avantor Inc                                                                                                            | CUSIP: 05352A100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     121097 | NS      | $2553935.73   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                        | UBS Group AG                                                                                                           | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $287084.82    | 0.00%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                       | Citigroup Inc                                                                                                          | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |     177379 | NS      | $8022852.17   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   72000320 | PA      | $7551130.48   | 0.13%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fuyo General Lease Co Ltd                           | Fuyo General Lease Co Ltd                                                                                              | CUSIP: 000000000<br>LEI: 353800IE82QJT7UQJK58 | Long             | EC               | CORP              | JP        |      27400 | NS      | $1786158.25   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $835459.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Air Products and Chemicals Inc                      | Air Products and Chemicals Inc                                                                                         | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |      18575 | NS      | $5725929.50   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                                                         | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1539735 | PA      | $1423552.23   | 0.02%             | 2035-12-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1S                                                                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-3352.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HELLENIC REPUBLIC                                   | Hellenic Republic Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     330000 | PA      | $353340.45    | 0.01%             | 2034-07-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1ST                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-4451.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NATIONAL BK HUNGARY BILL                            | National Bank of Hungary Bill                                                                                          | CUSIP: 000000000<br>LEI: SS58IXU92ZSUMORZFG95 | Long             | DBT              | NUSS              | HU        |  913000000 | PA      | $2438680.96   | 0.04%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | TWD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-166.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKY Perfect JSAT Holdings Inc                       | SKY Perfect JSAT Holdings Inc                                                                                          | CUSIP: 000000000<br>LEI: 5299009SAF34W9TVEF26 | Long             | EC               | CORP              | JP        |     426900 | NS      | $1568854.15   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8399.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          7 | NC      | $-3416.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Match Group Inc                                     | Match Group Inc                                                                                                        | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Long             | EC               | CORP              | US        |      58108 | NS      | $2410900.92   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SMALL-CAP GROWTH                                    | AST SMALL-CAP GROWTH PORTFOLIO                                                                                         | CUSIP: 000000000<br>LEI: V7EISZENYUUBRRNZ9C08 | Long             | EC               | RF                | US        |    1170770 | NS      | $69777921.62  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2005-HYB6                                                                              | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2261 | PA      | $2050.45      | 0.00%             | 2035-10-20      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Paragon Banking Group PLC                           | Paragon Banking Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800S1TDKIB1IUTS72 | Long             | EC               | CORP              | GB        |     358700 | NS      | $2438814.09   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                      | IndyMac INDX Mortgage Loan Trust 2005-AR18                                                                             | CUSIP: 45660LWD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     788581 | PA      | $402423.67    | 0.01%             | 2036-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   12590000 | OU      | $24883.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $47139.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         24 | NC      | $2640.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certi                      | CWABS Inc Asset-backed Certificates Series 2007-12                                                                     | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-MBS          | CORP              | US        |     798038 | PA      | $766329.38    | 0.01%             | 2047-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | CSWAP AUD VS USD                                                                                                       | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $11420.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CHF                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-129679.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                | Bank of America Corp                                                                                                   | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     460853 | NS      | $15263451.36  | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Resimac                                             | RESIMAC Bastille Trust Series 2018-1NC                                                                                 | CUSIP: 76118VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      34929 | PA      | $34880.53     | 0.00%             | 2059-12-05      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                     | BAE Systems PLC                                                                                                        | CUSIP: 000000000<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | EC               | CORP              | GB        |     395900 | NS      | $4089014.82   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TPC Group Inc 13 SNR NTS USD (144A)                 | TPC Group Inc 13 SNR NTS USD (144A)                                                                                    | CUSIP: 89236YAG9<br>LEI: 549300K276KVW5JD1583 | Long             | DBT              | CORP              | US        |     161739 | PA      | $161739.00    | 0.00%             | 2027-12-16      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          7 | NC      | $-25890.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2005-A2                                                                                       | CUSIP: 466247NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1378 | PA      | $1373.46      | 0.00%             | 2035-04-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PHP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11710.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayer AG                                            | Bayer AG                                                                                                               | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | EC               | CORP              | DE        |      48400 | NS      | $2491153.02   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Rivian Automotive Inc                               | Rivian Automotive Inc                                                                                                  | CUSIP: 76954A103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     294568 | NS      | $5428888.24   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| ORGANON & CO/ORG                                    | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                       | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $177083.77    | 0.00%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -18 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Real Estate Holdings In                      | Nomura Real Estate Holdings Inc                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      47500 | NS      | $1015682.69   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                        | Eurosail-UK 2007-3bl PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     224736 | PA      | $267627.75    | 0.00%             | 2045-06-13      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     895959 | PA      | $87366.11     | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                      | HarborView Mortgage Loan Trust 2004-1                                                                                  | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25643 | PA      | $23298.33     | 0.00%             | 2034-04-19      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Tokuyama Corp                                       | Tokuyama Corp                                                                                                          | CUSIP: 000000000<br>LEI: 529900MHGZKHNMNCQB62 | Long             | EC               | CORP              | JP        |      78600 | NS      | $1066892.80   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $437450.33    | 0.01%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LEE & MAN PAPER                                     | Lee & Man Paper Manufacturing Ltd                                                                                      | CUSIP: 000000000<br>LEI: 30030066PNKQVCCC5G24 | Long             | EC               | CORP              | HK        |    2829000 | NS      | $1240554.26   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1400000 | OU      | $-10933.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                      | Structured Asset Securities Corp                                                                                       | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353041 | PA      | $336770.78    | 0.01%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CSWAP AUD VS USD                                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10960.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                            | Lloyds Banking Group PLC                                                                                               | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | EC               | CORP              | GB        |    2667500 | NS      | $1455692.06   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                 | Southern California Edison Co                                                                                          | CUSIP: 842400HB2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190148.03    | 0.00%             | 2024-04-01      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                       | First Franklin Mortgage Loan Trust 2004-FF10                                                                           | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     751287 | PA      | $725412.60    | 0.01%             | 2034-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-334096.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15373501 | PA      | $13447323.55  | 0.23%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $3176.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                     | CDS STELLANTIS NV SNR SE                                                                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $96544.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12323.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $23631.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LG Energy Solution Ltd                              | LG Energy Solution Ltd                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |       6821 | NS      | $2350904.74   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $152797.22    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | PLN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3518.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                   | NatWest Group PLC                                                                                                      | CUSIP: 780099CK1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $196500.00    | 0.00%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140XBHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79939 | PA      | $70485.74     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                 | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1200000 | PA      | $928894.31    | 0.02%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   16300000 | OU      | $75756.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Simon Property Group Inc                            | Simon Property Group Inc                                                                                               | CUSIP: 828806109<br>LEI: 529900GQL5X8H7AO3T64 | Long             | EC               | CORP              | US        |      62856 | NS      | $7384322.88   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Asset Backed Funding Certifica                      | ABFC 2004-OPT5 Trust                                                                                                   | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34118 | PA      | $31868.22     | 0.00%             | 2034-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                        | DNB Bank ASA                                                                                                           | CUSIP: 000000000<br>LEI: 549300GKFG0RYRRQ1414 | Long             | EC               | CORP              | NO        |     117500 | NS      | $2320639.82   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2400000 | OU      | $-17244.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                 | Elevance Health Inc                                                                                                    | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |      35740 | NS      | $18333547.80  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-56                                                                                         | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6055 | PA      | $5213.83      | 0.00%             | 2035-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI PWR-OHIO INC OH                       | American Municipal Power Inc                                                                                           | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     700000 | PA      | $898161.12    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GR/DIAMON                            | Diamond Sports Group LLC / Diamond Sports Finance Co                                                                   | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1750000 | PA      | $208353.09    | 0.00%             | 2026-08-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $690643.28    | 0.01%             | 2031-07-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CoStar Group Inc                                    | CoStar Group Inc                                                                                                       | CUSIP: 22160N109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      63954 | NS      | $4942365.12   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsui & Co Ltd                                     | Mitsui & Co Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 2NRSB4GOU9DD6CNW5R48 | Long             | EC               | CORP              | JP        |     112000 | NS      | $3262081.37   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -14 | NC      | $-17042.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Rentokil Initial PLC                                | Rentokil Initial PLC                                                                                                   | CUSIP: 000000000<br>LEI: 549300VN4WV7Z6T14K68 | Long             | EC               | CORP              | GB        |    1134241 | NS      | $6968513.38   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Fuji Corp/Aichi                                     | Fuji Corp/Aichi                                                                                                        | CUSIP: 000000000<br>LEI: 353800G4VS3QLM6BSX66 | Long             | EC               | CORP              | JP        |      93200 | NS      | $1357915.78   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2220098.28  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                  | TSE Japanese 10 Year Bond s                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -17 | NC      | $357620.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/NZD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-85745.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                     | Sands China Ltd                                                                                                        | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $480000.00    | 0.01%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | SGD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6749.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBERBANK (SB CAP SA)                                | Sberbank of Russia Via SB Capital SA                                                                                   | CUSIP: 000000000<br>LEI: 222100YFG9QVABDS2B03 | Long             | DBT              | CORP              | LU        |    1000000 | PA      | $132062.50    | 0.00%             | 2023-05-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4043.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citizen Watch Co Ltd                                | Citizen Watch Co Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 529900DUZBKERKGQ2628 | Long             | EC               | CORP              | JP        |     247200 | NS      | $1109905.43   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                             | Mexican Bonos                                                                                                          | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   10752000 | PA      | $509952.35    | 0.01%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CNY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-35642.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -13230000 | OU      | $-947.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                | IHO Verwaltungs GmbH                                                                                                   | CUSIP: 000000000<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     100000 | PA      | $89890.11     | 0.00%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                              | Intuitive Surgical Inc                                                                                                 | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      34613 | NS      | $9184559.55   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | CDS SOUTH AFRICA EM SP GST                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-21254.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Tr                      | Real Estate Asset Liquidity Trust                                                                                      | CUSIP: 75585RQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     551387 | PA      | $403941.77    | 0.01%             | 2053-08-12      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                               | Tenet Healthcare Corp                                                                                                  | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     400000 | PA      | $358946.37    | 0.01%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| Solvay SA                                           | Solvay SA                                                                                                              | CUSIP: 000000000<br>LEI: 549300MMVL80RTBP3O28 | Long             | EC               | CORP              | BE        |      19700 | NS      | $1991789.61   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2005-1                                                                                          | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11829 | PA      | $10916.30     | 0.00%             | 2035-03-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-6292754.12  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5277400 | PA      | $4914905.58   | 0.08%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15937.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/NOK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $7400.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingfisher PLC                                      | Kingfisher PLC                                                                                                         | CUSIP: 000000000<br>LEI: 213800KBMEV7I92FY281 | Long             | EC               | CORP              | GB        |     733200 | NS      | $2083186.85   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Lead                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $1950.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW ZEALAND GVT ILB                                 | New Zealand Government Inflation Linked Bond                                                                           | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    3900000 | PA      | $3051830.34   | 0.05%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                      | JP Morgan Mortgage Acquisition Trust 2006-WMC3                                                                         | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43677 | PA      | $30382.87     | 0.00%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                             | United Kingdom Inflation-Linked Gilt                                                                                   | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    6612075 | PA      | $8112533.92   | 0.14%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-135742.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equity Residential                                  | Equity Residential                                                                                                     | CUSIP: 29476L107<br>LEI: 5493008RACSH5EP3PI59 | Long             | EC               | CORP              | US        |     104402 | NS      | $6159718.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140MGLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575315 | PA      | $468731.45    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS SGD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-12297.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14905.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | MXN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-104517.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1900000 | OU      | $-1.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | MXN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-36433.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                 | Midocean Credit CLO IX                                                                                                 | CUSIP: 59802MAA5<br>LEI: 549300XXQYQPW7OQNX23 | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1179042.12   | 0.02%             | 2031-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $7999.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Roche Holding AG                                    | Roche Holding AG                                                                                                       | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |      31500 | NS      | $9898483.01   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8019.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bancaja Fondo de Titulizacion                       | Bancaja 8 Fondo de Titulizacion de Activos                                                                             | CUSIP: 000000000<br>LEI: 95980020140005499204 | Long             | ABS-MBS          | CORP              | ES        |      97107 | PA      | $103280.21    | 0.00%             | 2037-10-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS COMM SWAP TBL BCOM                                                                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $284.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | EUR/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $30565.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                              | BCOM INDEX                                                                                                             | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              | CORP              | CH        |   -3421300 | NC      | $-15757.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $-40.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2809185 | PA      | $292975.34    | 0.01%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                 | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2800000 | PA      | $1511564.69   | 0.03%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                        | Alphabet Inc                                                                                                           | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |      94290 | NS      | $8366351.70   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11971638 | PA      | $11951810.81  | 0.20%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638CE0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4900000 | PA      | $1181967.63   | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                         | Equinor ASA                                                                                                            | CUSIP: 000000000<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | EC               | CORP              | NO        |     233481 | NS      | $8391371.63   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $287.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                            | Occidental Petroleum Corp                                                                                              | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     603000 | PA      | $612792.27    | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1442.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                              | AP Moller - Maersk A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300D2K6PKKKXVNN73 | Long             | EC               | CORP              | DK        |        600 | NS      | $1343162.96   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $282.94       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Adjustable Rate M                      | Bear Stearns ARM Trust 2004-10                                                                                         | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16312 | PA      | $14689.58     | 0.00%             | 2035-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Stockland                                           | Stockland                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | AU        |     686200 | NS      | $1690013.47   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Woodside Energy Group Ltd                           | Woodside Energy Group Ltd                                                                                              | CUSIP: 000000000<br>LEI: 2549005ZC5RXAOO7FH41 | Long             | EC               | CORP              | AU        |      22840 | NS      | $553143.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mediobanca Banca di Credito Fi                      | Mediobanca Banca di Credito Finanziario SpA                                                                            | CUSIP: 000000000<br>LEI: PSNL19R2RXX5U3QWHI44 | Long             | EC               | CORP              | IT        |     232900 | NS      | $2237951.40   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         22 | NC      | $-156113.66   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          4 | NC      | $8318.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Munich Re                                           | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                                                              | CUSIP: 000000000<br>LEI: 529900MUF4C20K50JS49 | Long             | EC               | CORP              | DE        |       7800 | NS      | $2523072.05   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101500000 | PA      | $90239843.75  | 1.55%             | 2027-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | CDS REPUBLIC OF COLOMBIA                                                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-47626.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cigna Corp                                          | Cigna Corp                                                                                                             | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |      97506 | NS      | $32307638.04  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                            | Uruguay Government International Bond                                                                                  | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1900000 | PA      | $1873400.00   | 0.03%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2006-AR1                                                                                       | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31227 | PA      | $29907.50     | 0.00%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                            | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                          | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2695694.74   | 0.05%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9070361 | PA      | $8637761.46   | 0.15%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-8                                                                                        | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26059 | PA      | $22943.40     | 0.00%             | 2034-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                           | CIM Trust 2019-INV1                                                                                                    | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208169 | PA      | $200414.05    | 0.00%             | 2049-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                      | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720940 | PA      | $701405.33    | 0.01%             | 2045-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                               | Terwin Mortgage Trust Series TMTS 2003-6HE                                                                             | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38350 | PA      | $33277.44     | 0.00%             | 2033-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | MYR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3984.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-654.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameren Corp                                         | Ameren Corp                                                                                                            | CUSIP: 023608102<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | EC               | CORP              | US        |     112766 | NS      | $10027152.72  | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1500000 | OU      | $-19907.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |    -700000 | OU      | $-31.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                  | Dominican Republic International Bond                                                                                  | CUSIP: 25714PEG9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     200000 | PA      | $153912.50    | 0.00%             | 2041-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $142088.41    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $617.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PT PERTAMINA (PERSERO)                              | Pertamina Persero PT                                                                                                   | CUSIP: 000000000<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    4300000 | PA      | $3896337.50   | 0.07%             | 2043-05-20      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $50961.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-552.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -900000 | OU      | $-4076.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DIR              | CORP              | US        |   -2400000 | OU      | $-14856.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                           | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |          1 | NC      | $388.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co/The                                     | Southern Co/The                                                                                                        | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Long             | EC               | CORP              | US        |     390094 | NS      | $27856612.54  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                    | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $348218.32    | 0.01%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12103142 | PA      | $11082027.98  | 0.19%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-18086.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Tru                      | Ellington Loan Acquisition Trust 2007-1                                                                                | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     104737 | PA      | $100227.74    | 0.00%             | 2037-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| AST PGIM Fixed Income Central Fund                  | AST PGIM Fixed Income Central Fund                                                                                     | CUSIP: 000000000<br>LEI: 5493004PPIB4NJOLH005 | Long             | EC               | RF                | US        |   40581918 | NS      | $399326076.45 | 6.84%             |  |  |  | No            |                  1 | On Loan: No      |
| GAZPROM (GAZ CAPITAL SA)                            | Gazprom PJSC Via Gaz Capital SA                                                                                        | CUSIP: 000000000<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     500000 | PA      | $432596.12    | 0.01%             | 2023-03-06      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $147.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-110209.74   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corp                                 | Kimberly-Clark Corp                                                                                                    | CUSIP: 494368103<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | EC               | CORP              | US        |     101719 | NS      | $13808354.25  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust                                                         | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47490 | PA      | $42852.81     | 0.00%             | 2047-01-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11753635 | PA      | $11287477.73  | 0.19%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | 2 YEAR US TREASURY NOTE                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        906 | NC      | $93033.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RIO OIL FINANCE TRUST                               | Rio Oil Finance Trust Series 2014-1                                                                                    | CUSIP: 000000000<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     437628 | PA      | $441812.82    | 0.01%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                   | EOG Resources Inc                                                                                                      | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |      19269 | NS      | $2495720.88   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Bellway PLC                                         | Bellway PLC                                                                                                            | CUSIP: 000000000<br>LEI: 213800CY4L3HST4FGZ98 | Long             | EC               | CORP              | GB        |      55100 | NS      | $1260040.79   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Redrow PLC                                          | Redrow PLC                                                                                                             | CUSIP: 000000000<br>LEI: 2138008WJZBBA7EYEL28 | Long             | EC               | CORP              | GB        |     193000 | NS      | $1057619.21   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                              | Howard Hughes Corp/The                                                                                                 | CUSIP: 44267D107<br>LEI: 549300BVHY25JZC1KI49 | Long             | EC               | CORP              | US        |      13693 | NS      | $1046419.06   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS (SUISSE) SA                             | TRS BNPIP1MT INDEX                                                                                                     | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DE               | CORP              | CH        |          1 | NC      | $-54276.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1021594.15   | 0.02%             | 2023-06-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MongoDB Inc                                         | MongoDB Inc                                                                                                            | CUSIP: 60937P106<br>LEI: 549300TPTG69WKWE1Z37 | Long             | EC               | CORP              | US        |       9490 | NS      | $1868011.60   | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | 10 YEAR US TREASURY NOTE                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1223 | NC      | $-910543.33   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS CZK                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-140916.06   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Haseko Corp                                         | Haseko Corp                                                                                                            | CUSIP: 000000000<br>LEI: 529900EH7TSG348O4045 | Long             | EC               | CORP              | JP        |      90500 | NS      | $1010825.99   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.HY.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |    2972000 | OU      | $36216.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12833.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO LLC                              | ISHARES MSCI EAFE ETF                                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |      10000 | NC      | $7822143.04   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | COMEX Silver                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-6719.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27574386 | PA      | $26266491.23  | 0.45%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Illumina Inc                                        | Illumina Inc                                                                                                           | CUSIP: 452327109<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | EC               | CORP              | US        |       3152 | NS      | $637334.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                  | USD/ILS FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $80574.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | TRS CIXBSTR3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |          1 | NC      | $-170162.33   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kandenko Co Ltd                                     | Kandenko Co Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 35380080NSN7GCYZ3X14 | Long             | EC               | CORP              | JP        |     183500 | NS      | $1198403.45   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc                             | O'Reilly Automotive Inc                                                                                                | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Long             | EC               | CORP              | US        |       4107 | NS      | $3466431.21   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14860000 | OU      | $-10171.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $665.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avon Finance                                        | Avon Finance NO 2 PLC                                                                                                  | CUSIP: 000000000<br>LEI: 635400IPAZCDVVZHDJ84 | Long             | ABS-MBS          | CORP              | GB        |    1192601 | PA      | $1409224.40   | 0.02%             | 2048-09-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -16300000 | OU      | $-22337.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-81                                                                                         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659367 | PA      | $532372.36    | 0.01%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX HENRY HUB NATURAL GAS                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -5 | NC      | $19654.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                      | INR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-139.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS SOFRRATE                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-27779.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -15310000 | OU      | $-73171.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                      | MASTR Adjustable Rate Mortgages Trust 2003-6                                                                           | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11762 | PA      | $10452.75     | 0.00%             | 2033-12-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Autodesk Inc                                        | Autodesk Inc                                                                                                           | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |       5899 | NS      | $1102346.13   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Nickel                                                                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          3 | NC      | $93050.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Zinc                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-4506.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SERBIA                                  | Serbia International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    1000000 | PA      | $647488.44    | 0.01%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                              | Nationstar Mortgage Holdings Inc                                                                                       | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $201815.36    | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aon PLC                                             | Aon PLC                                                                                                                | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | US        |      23239 | NS      | $6974953.46   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINICAN REPUBLIC                                  | Dominican Republic International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2000000 | PA      | $1610375.00   | 0.03%             | 2049-06-05      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-654.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $256.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wienerberger AG                                     | Wienerberger AG                                                                                                        | CUSIP: 000000000<br>LEI: 529900VXIFBHO0SW2I31 | Long             | EC               | CORP              | AT        |      50900 | NS      | $1226889.63   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $3580.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc                                           | Apple Inc                                                                                                              | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     347252 | NS      | $45118452.36  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Agricole SA                                  | Credit Agricole SA                                                                                                     | CUSIP: 000000000<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | EC               | CORP              | FR        |     189400 | NS      | $1992364.41   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Dfds A/S                                            | Dfds A/S                                                                                                               | CUSIP: 000000000<br>LEI: 549300JZVW1Y1UZ5UK38 | Long             | EC               | CORP              | DK        |      28000 | NS      | $1028903.64   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -4600000 | OU      | $-9126.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS EURMARG3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $24679.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                 | Deutsche Telekom AG                                                                                                    | CUSIP: 000000000<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | EC               | CORP              | DE        |     109100 | NS      | $2170717.63   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Diageo PLC                                          | Diageo PLC                                                                                                             | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |     183423 | NS      | $8028768.59   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1493874.35   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   -1300000 | OU      | $-8994.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enphase Energy Inc                                  | Enphase Energy Inc                                                                                                     | CUSIP: 29355A107<br>LEI: 5493008U7KIGMI59Z314 | Long             | EC               | CORP              | US        |       3180 | NS      | $842572.80    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MDGH GMTN RSC LTD                                   | MDGH GMTN RSC Ltd                                                                                                      | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | CORP              | AE        |     400000 | PA      | $422075.00    | 0.01%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $26470.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                               | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $241250.00    | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78279.05     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fresenius SE & Co KGaA                              | Fresenius SE & Co KGaA                                                                                                 | CUSIP: 000000000<br>LEI: XDFJ0CYCOO1FXRFTQS51 | Long             | EC               | CORP              | DE        |      43200 | NS      | $1206658.94   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MINNEAPOLIS GRAIN EXCHANGE                          | MGE Red Wheat                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          1 | NC      | $-1203.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $21151.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS COM FWD LLSCO K2                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $1371.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKISH AIRLN 15-1 A PTT                            | Turkish Airlines 2015-1 Class A Pass Through Trust                                                                     | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |    4765137 | PA      | $4090355.16   | 0.07%             | 2027-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                       | First Franklin Mortgage Loan Trust 2006-FF10                                                                           | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1261320 | PA      | $1158242.41   | 0.02%             | 2036-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                  | TRS CIBZC17F INDEX                                                                                                     | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DE               | CORP              | CA        |          1 | NC      | $725762.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                         | TRS BCOMTR INDEX                                                                                                       | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-31176.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS DWRTFT                                                                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-183699.71   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                      | WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust                                                         | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8921 | PA      | $7873.30      | 0.00%             | 2046-10-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    7800000 | PA      | $5993948.76   | 0.10%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $2428988.20   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | CDS INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |          1 | NC      | $2650.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | GASOLINE RBOB                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-3058.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2006-2CB                                                                                        | CUSIP: 12668BLY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17229 | PA      | $7549.77      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              | CORP              | GB        |  -12900000 | OU      | $-41278.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | NYBOT CSC NUMBER 11 WORLD SUGAR                                                                                        | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         23 | NC      | $-1876.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | HUF/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-47243.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Microsoft Corp                                      | Microsoft Corp                                                                                                         | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     399505 | NS      | $95809289.10  | 1.64%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                       | Citigroup Inc                                                                                                          | CUSIP: 172967MK4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1635000 | PA      | $1361449.38   | 0.02%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Beach Energy Ltd                                    | Beach Energy Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 8Q9PJD25OKTQT5FHUF40 | Long             | EC               | CORP              | AU        |    1780300 | NS      | $1933151.26   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4500000 | PA      | $1085480.48   | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2789.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    1460389 | PA      | $160101.48    | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                       | New Residential Mortgage Loan Trust 2018-3                                                                             | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |     156045 | PA      | $146434.41    | 0.00%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | Barclays PLC                                                                                                           | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $677777.94    | 0.01%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         14 | NC      | $-144034.58   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $650787.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hazama Ando Corp                                    | Hazama Ando Corp                                                                                                       | CUSIP: 000000000<br>LEI: 353800YSSP5B2GMQ6E51 | Long             | EC               | CORP              | JP        |     318600 | NS      | $2033421.99   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15229.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                   | Chile Government International Bond                                                                                    | CUSIP: 168863DW5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    1200000 | PA      | $930169.39    | 0.02%             | 2052-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Thermo Fisher Scientific Inc                        | Thermo Fisher Scientific Inc                                                                                           | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |      30456 | NS      | $16771814.64  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     365000 | PA      | $295548.66    | 0.01%             | N/A             | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6483.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Express Co                                 | American Express Co                                                                                                    | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |       7201 | NS      | $1063947.75   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Peloton Interactive Inc                             | Peloton Interactive Inc                                                                                                | CUSIP: 70614W100<br>LEI: 5493002YS021166W0339 | Long             | EC               | CORP              | US        |     177291 | NS      | $1407690.54   | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| REPUBLIC OF SERBIA                                  | Serbia International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    2700000 | PA      | $2062370.72   | 0.04%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4431.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | CDS COLOMBIA LA SP                                                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |          1 | NC      | $-14506.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | PLN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $66136.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                            | Avolon Holdings Funding Ltd                                                                                            | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       6000 | PA      | $4827.51      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Stellantis NV                                       | Stellantis NV                                                                                                          | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | EC               | CORP              | NL        |     195452 | NS      | $2776869.96   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS INR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $304470.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                              | Chesapeake Energy Corp                                                                                                 | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       9445 | NS      | $891324.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC BANK PLC                                       | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-10761.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                 | Newgate Funding PLC                                                                                                    | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    1278404 | PA      | $1298344.59   | 0.02%             | 2050-12-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -12590000 | OU      | $-6906.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS MXN                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-76559.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NOK                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $46940.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33140000 | PA      | $26958073.02  | 0.46%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                            | OBX 2018-1 Trust                                                                                                       | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58601 | PA      | $55112.93     | 0.00%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                             | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $849692.17    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | TRS COM FWD LLSMEH                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |          1 | NC      | $-5.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tongda Group Holdings Ltd                           | Tongda Group Holdings Ltd                                                                                              | CUSIP: 000000000<br>LEI: 254900CYW27N7I17Y625 | Long             | EC               | CORP              | HK        |   12390000 | NS      | $204143.05    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $82.23        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Agilent Technologies Inc                            | Agilent Technologies Inc                                                                                               | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |      10024 | NS      | $1500091.60   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     219000 | PA      | $218309.80    | 0.00%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                | Jyske Realkredit A/S                                                                                                   | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    3024697 | PA      | $333651.38    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-26062.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |   -2000000 | OU      | $-1578.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM (GAZ CAPITAL SA)                            | Gazprom PJSC Via Gaz Capital SA                                                                                        | CUSIP: 000000000<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    3000000 | PA      | $2250000.00   | 0.04%             | 2026-02-11      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                            | Nordea Kredit Realkreditaktieselskab                                                                                   | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   42216294 | PA      | $4199373.91   | 0.07%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment                      | Fieldstone Mortgage Investment Trust Series 2006-1                                                                     | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1251655 | PA      | $849994.98    | 0.01%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -15 | NC      | $35997.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Segro PLC                                           | Segro PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800XC35KGM9NFC641 | Long             | EC               | CORP              | GB        |     326637 | NS      | $3009065.18   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                      | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                                                              | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3462377 | PA      | $1316357.25   | 0.02%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-7752.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                        | British American Tobacco PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | EC               | CORP              | GB        |     131700 | NS      | $5209808.79   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $16483.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRINKER INTERNATIONAL IN                            | Brinker International Inc                                                                                              | CUSIP: 109641AH3<br>LEI: 52990067JY6PBGJNTG76 | Long             | DBT              | CORP              | US        |     625000 | PA      | $602743.61    | 0.01%             | 2024-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                      | Securitized Asset Backed Receivables LLC Trust 2007-HE1                                                                | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55296 | PA      | $12297.34     | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| LCH LIMITED                                         | IRS CNY                                                                                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-41074.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2400000 | PA      | $2319787.92   | 0.04%             | 2024-09-18      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Carrefour SA                                        | Carrefour SA                                                                                                           | CUSIP: 000000000<br>LEI: 549300B8P6MUJ1YWTS08 | Long             | EC               | CORP              | FR        |     135900 | NS      | $2273057.09   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Repsol SA                                           | Repsol SA                                                                                                              | CUSIP: 000000000<br>LEI: BSYCX13Y0NOTV14V9N85 | Long             | EC               | CORP              | ES        |     253600 | NS      | $4036556.78   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Nickel                                                                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -3 | NC      | $-77244.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14480000 | OU      | $-56138.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | CDS CMBX.NA.AAA.8                                                                                                      | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |          1 | NC      | $2763.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/BRL FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1066.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKF AB                                              | SKF AB                                                                                                                 | CUSIP: 000000000<br>LEI: 549300B6HWYEE57O8J84 | Long             | EC               | CORP              | SE        |     135900 | NS      | $2075672.33   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Sonae SGPS SA                                       | Sonae SGPS SA                                                                                                          | CUSIP: 000000000<br>LEI: 549300847SOBT7HY7R50 | Long             | EC               | CORP              | PT        |    1442300 | NS      | $1444909.89   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1265.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | MYR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $190725.50    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Zimmer Biomet Holdings Inc                          | Zimmer Biomet Holdings Inc                                                                                             | CUSIP: 98956P102<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | EC               | CORP              | US        |     138637 | NS      | $17676217.50  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-203975.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10439159 | PA      | $8856162.84   | 0.15%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $2857.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Voya CLO Ltd                                        | Voya CLO 2019-3 Ltd                                                                                                    | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4413652.20   | 0.08%             | 2032-10-17      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX HENRY HUB NATURAL GAS                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-4066.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| THE TORONTO-DOMINION BANK                           | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |          1 | NC      | $40870.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                      | CWABS Asset-Backed Certificates Trust 2004-BC5                                                                         | CUSIP: 126673AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91060 | PA      | $90789.28     | 0.00%             | 2034-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                           | Airbus SE                                                                                                              | CUSIP: 000000000<br>LEI: MINO79WLOO247M1IL051 | Long             | EC               | CORP              | FR        |      68255 | NS      | $8115690.35   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Inghams Group Ltd                                   | Inghams Group Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 529900ZZ4VRHSGVBNE41 | Long             | EC               | CORP              | AU        |     417300 | NS      | $809050.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $273909.96    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS VARS GOLDLNPM                                                                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $74344.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Palladium                                                                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $13110.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-24906.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fortescue Metals Group Ltd                          | Fortescue Metals Group Ltd                                                                                             | CUSIP: 000000000<br>LEI: 529900VEJFORCO6I4826 | Long             | EC               | CORP              | AU        |     163850 | NS      | $2290156.79   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8204.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBS Group Holdings Ltd                              | DBS Group Holdings Ltd                                                                                                 | CUSIP: 000000000<br>LEI: 5493007FKT78NKPM5V55 | Long             | EC               | CORP              | SG        |      79500 | NS      | $2012272.49   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Insulet Corp                                        | Insulet Corp                                                                                                           | CUSIP: 45784P101<br>LEI: 549300TZTYD2PYN92D43 | Long             | EC               | CORP              | US        |      10047 | NS      | $2957736.33   | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 38141GZL1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3054149.12   | 0.05%             | 2028-02-24      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Boston Properties Inc                               | Boston Properties Inc                                                                                                  | CUSIP: 101121101<br>LEI: 549300OF70FSEUQBT254 | Long             | EC               | CORP              | US        |      23845 | NS      | $1611445.10   | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Vulcan Materials Co                                 | Vulcan Materials Co                                                                                                    | CUSIP: 929160109<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | EC               | CORP              | US        |      41786 | NS      | $7317146.46   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM GILT                                 | United Kingdom Gilt                                                                                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3100000 | PA      | $2025881.04   | 0.03%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1836933.69  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae REMICS                                                                                                      | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15201 | PA      | $14921.68     | 0.00%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES UTICA                              | Ascent Resources Utica Holdings LLC                                                                                    | CUSIP: 000000000<br>LEI: 549300EGLQ2M2CL7JZ89 | Long             | LON              | CORP              | US        |     101000 | PA      | $106302.50    | 0.00%             | 2025-11-01      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estat                      | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                                                                   | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        788 | PA      | $269.38       | 0.00%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2003-A2                                                                                       | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2139 | PA      | $1973.52      | 0.00%             | 2033-11-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Sunstone Hotel Investors Inc                        | Sunstone Hotel Investors Inc                                                                                           | CUSIP: 867892101<br>LEI: 529900ZQ2V52V96ATF67 | Long             | EC               | CORP              | US        |     120746 | NS      | $1166406.36   | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| QATAR ENERGY TRADING LLC                            | QatarEnergy Trading LLC                                                                                                | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     400000 | PA      | $330075.00    | 0.01%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                      | CWABS Asset-Backed Certificates Trust 2005-17                                                                          | CUSIP: 126670RD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797154 | PA      | $786090.09    | 0.01%             | 2036-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5150.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                       | Marriott International Inc/MD                                                                                          | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |       4836 | NS      | $720032.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1251337 | PA      | $1019717.64   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL MAKAM BILL                                   | Bank of Israel Bill - Makam                                                                                            | CUSIP: 000000000<br>LEI: M8LYVLF5DOB9X0LZOW72 | Long             | DBT              | NUSS              | IL        |    5100000 | PA      | $1441017.33   | 0.02%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                      | Alternative Loan Trust 2005-J12                                                                                        | CUSIP: 12668ASY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1171548 | PA      | $638240.66    | 0.01%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                           | JPY/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-39067.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                       | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                                                          | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3208 | PA      | $2718.28      | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              | CORP              | US        |   -3900000 | OU      | $-0.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/BRL FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4328.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/CAD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15937.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1692.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-15853.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mastercard Inc                                      | Mastercard Inc                                                                                                         | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |      78333 | NS      | $27238734.09  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN BROTHERS HOLDINGS                            | Lehman Brothers Holdings Inc                                                                                           | CUSIP: 000000000<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |     400000 | PA      | $1400.00      | 0.00%             | 2099-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7372.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/IDR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-126.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Marks & Spencer Group PLC                           | Marks & Spencer Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800EJP14A79ZG1X44 | Long             | EC               | CORP              | GB        |     859100 | NS      | $1267387.49   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS COM FWD MEHCO K2                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $1335.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                         | Towd Point Mortgage Funding 2019 - Granite4 PLC                                                                        | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    2517200 | PA      | $3031012.03   | 0.05%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-352.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $138761.88    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/JPY FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9433.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          2 | NC      | $8219.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Black Knight Inc                                    | Black Knight Inc                                                                                                       | CUSIP: 09215C105<br>LEI: 549300TUSNXS3BFFML48 | Long             | EC               | CORP              | US        |      17360 | NS      | $1071980.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| DIGICEL INTL FINANCE LTD                            | Digicel International Finance Ltd                                                                                      | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | LON              | CORP              | LC        |     883956 | PA      | $738103.48    | 0.01%             | 2024-05-27      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Lonza Group AG                                      | Lonza Group AG                                                                                                         | CUSIP: 000000000<br>LEI: 549300EFW4H2TCZ71055 | Long             | EC               | CORP              | CH        |      13150 | NS      | $6455012.18   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS ZAR                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2014.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                    | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $278059.74    | 0.00%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Daiwabo Holdings Co Ltd                             | Daiwabo Holdings Co Ltd                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     113900 | NS      | $1669811.73   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                              | Lumen Technologies Inc                                                                                                 | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |     900535 | PA      | $852834.57    | 0.01%             | 2027-03-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/BRL FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13001.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Loomis AB                                           | Loomis AB                                                                                                              | CUSIP: 000000000<br>LEI: 213800NS2XXVRYS7WP40 | Long             | EC               | CORP              | SE        |      68300 | NS      | $1872108.12   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1432314.49  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Hong Leong Asia Ltd                                 | Hong Leong Asia Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 254900OXRICREAQ3VU73 | Long             | EC               | CORP              | SG        |     377000 | NS      | $187413.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PGIM Institutional Money Market Fund - D            | PGIM Institutional Money Market Fund - D                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  243958736 | NS      | $243861152.16 | 4.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Sartorius Stedim Biotech                            | Sartorius Stedim Biotech                                                                                               | CUSIP: 000000000<br>LEI: 52990006IVXY7GCSSR39 | Long             | EC               | CORP              | FR        |      15560 | NS      | $5056503.68   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                     | Antofagasta PLC                                                                                                        | CUSIP: 03718NAA4<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $957600.00    | 0.02%             | 2030-10-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| UBS AG                                              | TRS BCOM INDEX                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               | CORP              | CH        |          1 | NC      | $55683.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-26378.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| D/S Norden A/S                                      | D/S Norden A/S                                                                                                         | CUSIP: 000000000<br>LEI: 529900RGXD3CBR3BRU63 | Long             | EC               | CORP              | DK        |      39300 | NS      | $2368407.41   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander SA                                  | Banco Santander SA                                                                                                     | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | EC               | CORP              | ES        |     787100 | NS      | $2353519.32   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17847588 | PA      | $15827613.07  | 0.27%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc                                      | Salesforce Inc                                                                                                         | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |      40929 | NS      | $5426776.11   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $54630.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN RECEIVABLES                                  | LEHMAN RECEIVABLES DISCOUNT IS TO                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       4366 | NS      | $4365.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | CAD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1928.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14765.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                      | Structured Asset Mortgage Investments II Trust 2006-AR7                                                                | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     893726 | PA      | $747092.32    | 0.01%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1500000 | OU      | $-2079.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -3 | NC      | $-2580.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | AUD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2296.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | THB/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                      | Residential Asset Securitization Trust 2005-A4                                                                         | CUSIP: 45660LHD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154483 | PA      | $86052.25     | 0.00%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1700000 | PA      | $1200374.64   | 0.02%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                             | Home Equity Asset Trust 2005-2                                                                                         | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1893209.20   | 0.03%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                               | Mansard Mortgages 2007-2 PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800HN3U8VNBEANB34 | Long             | ABS-MBS          | CORP              | GB        |     848743 | PA      | $973898.63    | 0.02%             | 2049-12-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                   | EURO-BUND                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -12 | NC      | $-15.98       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                   | NatWest Group PLC                                                                                                      | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $495548.65    | 0.01%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -7 | NC      | $6319.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $722257.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                             | Philippine Government International Bond                                                                               | CUSIP: 718286CA3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    1300000 | PA      | $1059643.00   | 0.02%             | 2041-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management                  | Dreyfus Government Cash Management                                                                                     | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |   19885336 | NS      | $19885336.09  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2019-HY2                                                                                     | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1367734 | PA      | $1354893.89   | 0.02%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS JPY                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-65328.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2007-S3                                                                                       | CUSIP: 46631NDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147821 | PA      | $80688.65     | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $432.94       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Benefit Street Partners CLO Lt                      | Benefit Street Partners CLO XXI Ltd                                                                                    | CUSIP: 08186RAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4525000 | PA      | $4400014.98   | 0.08%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $43150.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust                                       | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276416 | PA      | $232606.93    | 0.00%             | 2047-02-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $481078.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | US 5 YEAR TREASURY NOTE                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2340 | NC      | $-1185631.49  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF NIGERIA                                 | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1100000 | PA      | $1007875.00   | 0.02%             | 2025-11-21      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | NYBOT CSC Cocoa                                                                                                        | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         12 | NC      | $29415.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Rockwell Automation Inc                             | Rockwell Automation Inc                                                                                                | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |       4713 | NS      | $1213927.41   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/IDR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $22266.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hologic Inc                                         | Hologic Inc                                                                                                            | CUSIP: 436440101<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | EC               | CORP              | US        |      73177 | NS      | $5474371.37   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                              | Reperforming Loan REMIC Trust 2006-R1                                                                                  | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555174 | PA      | $525639.64    | 0.01%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-1539918.01  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Invitation Homes Inc                                | Invitation Homes Inc                                                                                                   | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     268566 | NS      | $7960296.24   | 0.14%             |  |  |  | No            |                  1 | On Loan: —       |
| ICE FUTURES EUROPE                                  | ICE Gas Oil                                                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          6 | NC      | $-24895.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CAL EDISON                                 | Southern California Edison Co                                                                                          | CUSIP: 842400GZ0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     700000 | PA      | $692321.00    | 0.01%             | 2023-04-03      | Fixed         | 0.70%                 | No            |                  2 | On Loan: —       |
| New Residential Mortgage Loan                       | New Residential Mortgage Loan Trust 2019-RPL3                                                                          | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3448746 | PA      | $3204310.29   | 0.05%             | 2059-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -5 | NC      | $-229.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $757.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-192736.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Henry Hub Natural Gas s                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -27 | NC      | $181440.07    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                       | CUSIP: 3133KLBK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     714645 | PA      | $607072.10    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| iShares Core U.S. Aggregate Bond ETF                | iShares Core U.S. Aggregate Bond ETF                                                                                   | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             | EC               | RF                | US        |     935239 | NS      | $90708830.61  | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Wheat                                                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -6 | NC      | $-10707.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Teva Pharmaceutical Industries                      | Teva Pharmaceutical Industries Ltd                                                                                     | CUSIP: 000000000<br>LEI: 549300BAFGM4RC74ZJ94 | Long             | EC               | CORP              | IL        |     202000 | NS      | $1862771.12   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-461070.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays PLC                                        | Barclays PLC                                                                                                           | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | EC               | CORP              | GB        |     991600 | NS      | $1886828.72   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $1613.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BK CANADA                                     | ROYAL BK CANADA                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    4500000 | PA      | $3309261.45   | 0.06%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834NP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3460000 | PA      | $1378864.08   | 0.02%             | 2044-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                                | Colgate-Palmolive Co                                                                                                   | CUSIP: 194162103<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | EC               | CORP              | US        |      60466 | NS      | $4764116.14   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -1800000 | OU      | $-0.01        | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| GSAMP Trust                                         | GSAMP Trust 2007-NC1                                                                                                   | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1747573 | PA      | $861446.08    | 0.01%             | 2046-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Electronic Arts Inc                                 | Electronic Arts Inc                                                                                                    | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |      32712 | NS      | $3996752.16   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                          | USD/THB FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13823.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14270.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Philip Morris International In                      | Philip Morris International Inc                                                                                        | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     199463 | NS      | $20187650.23  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-27714.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Novartis AG                                         | Novartis AG                                                                                                            | CUSIP: 000000000<br>LEI: 5493007HIVTX6SY6XD66 | Long             | EC               | CORP              | CH        |     157200 | NS      | $14226199.97  | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | EUR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3469.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                      | BCAP LLC 2011-RR5-I Trust                                                                                              | CUSIP: 05534AAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672344 | PA      | $904560.98    | 0.02%             | 2037-03-26      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   14860000 | OU      | $29369.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-546.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $291.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIA Group Ltd                                       | AIA Group Ltd                                                                                                          | CUSIP: 000000000<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | EC               | CORP              | HK        |     631400 | NS      | $6972797.46   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | SNG GSOIL V LOW SU                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-216.97      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | GASOLINE RBOB                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          2 | NC      | $12684.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association               | HUF/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $17636.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         13 | NC      | $42074.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $45277.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-85851.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                                       | United States Treasury Bill                                                                                            | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  168000000 | PA      | $165659961.60 | 2.84%             | 2023-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          2 | NC      | $-1832.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Daikin Industries Ltd                               | Daikin Industries Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 549300Y7FWSTSHMW5Y57 | Long             | EC               | CORP              | JP        |      40800 | NS      | $6189915.10   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Orkla ASA                                           | Orkla ASA                                                                                                              | CUSIP: 000000000<br>LEI: 549300PZS8G8RG6RVZ52 | Long             | EC               | CORP              | NO        |     242000 | NS      | $1746594.29   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| QATAR ENERGY TRADING LLC                            | QatarEnergy Trading LLC                                                                                                | CUSIP: 74730DAD5<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     400000 | PA      | $292825.00    | 0.01%             | 2051-07-12      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Barings Loan Partners CLO Ltd.                      | Barings Loan Partners CLO Ltd 3                                                                                        | CUSIP: 06763BAA7<br>LEI: 549300RUPLT0ZHQPBR47 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4576293.18   | 0.08%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | BNP Paribas SA                                                                                                         | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $1760025.20   | 0.03%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| KBC Group NV                                        | KBC Group NV                                                                                                           | CUSIP: 000000000<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | EC               | CORP              | BE        |     102276 | NS      | $6585073.82   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO                            | Spain Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3400000 | PA      | $3192049.79   | 0.05%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BIPROGY Inc                                         | BIPROGY Inc                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      29800 | NS      | $755048.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                          | Stanley Black & Decker Inc                                                                                             | CUSIP: 854502101<br>LEI: 549300DJ09SMTO561131 | Long             | EC               | CORP              | US        |     126061 | NS      | $9469702.32   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-69188.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                             | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-2629.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                     | AstraZeneca PLC                                                                                                        | CUSIP: 000000000<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |      95085 | NS      | $12866843.50  | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $103093.71    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Aurizon Holdings Ltd                                | Aurizon Holdings Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 5299005PC1O6NOWL3H48 | Long             | EC               | CORP              | AU        |     886900 | NS      | $2246907.44   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-922.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Synopsys Inc                                        | Synopsys Inc                                                                                                           | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |       5524 | NS      | $1763757.96   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investo                      | Merrill Lynch Mortgage Investors Trust Series 2006-RM4                                                                 | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2065 | PA      | $445.35       | 0.00%             | 2037-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                            | Brookfield Residential Properties Inc / Brookfield Residential US LLC                                                  | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     985000 | PA      | $760912.50    | 0.01%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Corn                                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       -106 | NC      | $-16756.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOW SULPHUR GAS OIL                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |        -10 | NC      | $-9165.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $68361.61     | 0.00%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO IX                                 | Ocean Trails CLO IX                                                                                                    | CUSIP: 67515XAQ7<br>LEI: 549300LD2JF1INLMST94 | Long             | ABS-CBDO         | CORP              | KY        |    5250000 | PA      | $5023088.18   | 0.09%             | 2034-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-4273849.86  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Keiyo Bank Ltd/The                                  | Keiyo Bank Ltd/The                                                                                                     | CUSIP: 000000000<br>LEI: 353800HBJ702X2J5OX58 | Long             | EC               | CORP              | JP        |     163500 | NS      | $727019.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Kilroy Realty Corp                                  | Kilroy Realty Corp                                                                                                     | CUSIP: 49427F108<br>LEI: 549300CXXI18B214UN80 | Long             | EC               | CORP              | US        |      19925 | NS      | $770499.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS COM FWD GOLDLNPM                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $69417.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $465824.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    4522812 | PA      | $500416.29    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                   | Hyatt Hotels Corp                                                                                                      | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     400000 | PA      | $387846.89    | 0.01%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $25998.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                   | State Street Corp                                                                                                      | CUSIP: 857477855<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EP               | CORP              | US        |      15000 | NS      | $352650.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                  | Energy Transfer LP                                                                                                     | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     800000 | PA      | $694858.55    | 0.01%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                              | Bausch Health Americas Inc                                                                                             | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |     290000 | PA      | $152266.83    | 0.00%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-35619.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -2400000 | OU      | $-1834.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                        | CSMC 2021-INV1Trust                                                                                                    | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     684931 | PA      | $549790.36    | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS BCOMF1TC INDEX                                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-255596.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DTS Corp                                            | DTS Corp                                                                                                               | CUSIP: 000000000<br>LEI: 529900WBOTPBINBCF151 | Long             | EC               | CORP              | JP        |      38800 | NS      | $874347.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                      | C-BASS 2006-CB9 TRUST                                                                                                  | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14999 | PA      | $7024.59      | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ICE ENDEX                                           | TTF NATURAL GAS                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | NL        |          2 | NC      | $-44539.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                        | SGD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $8955.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NATURAL GAS                                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -5 | NC      | $-22910.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32651063 | PA      | $31086873.62  | 0.53%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| CAN IMPERIAL BK                                     | CAN IMPERIAL BK                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1800000 | PA      | $1323970.46   | 0.02%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| iShares Floating Rate Bond ETF                      | iShares Floating Rate Bond ETF                                                                                         | CUSIP: 46429B655<br>LEI: 549300G2T0MQ0NCEG317 | Long             | EC               | RF                | US        |     284399 | NS      | $14313801.67  | 0.25%             |  |  |  | No            |                  1 | On Loan: —       |
| GAZPROM (GAZ CAPITAL SA)                            | Gazprom PJSC Via Gaz Capital SA                                                                                        | CUSIP: 000000000<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    2000000 | PA      | $1370625.00   | 0.02%             | 2027-03-23      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS TSY INFL IX N/B                                                                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-135662.85   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Safehold Inc                                        | Safehold Inc                                                                                                           | CUSIP: 78645L100<br>LEI: 549300MHMP6BIE0XV355 | Long             | EC               | CORP              | US        |       9668 | NS      | $276698.16    | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                 | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $310504.20    | 0.01%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $53076.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBE Corp                                            | UBE Corp                                                                                                               | CUSIP: 000000000<br>LEI: 529900XMRZ2VNF3ZPS69 | Long             | EC               | CORP              | JP        |     140900 | NS      | $2065255.25   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Ryman Hospitality Properties I                      | Ryman Hospitality Properties Inc                                                                                       | CUSIP: 78377T107<br>LEI: 529900GCCWW9SRMPJR11 | Long             | EC               | CORP              | US        |      22300 | NS      | $1823694.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Brother Industries Ltd                              | Brother Industries Ltd                                                                                                 | CUSIP: 114813108<br>LEI: 549300O5FACQ67KI6R92 | Long             | EC               | CORP              | JP        |     116600 | NS      | $1762255.04   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Sojitz Corp                                         | Sojitz Corp                                                                                                            | CUSIP: 000000000<br>LEI: 5493004SE33MRLPB1W98 | Long             | EC               | CORP              | JP        |     119000 | NS      | $2267380.10   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $35397.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pfizer Inc                                          | Pfizer Inc                                                                                                             | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |     187867 | NS      | $9626305.08   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -12590000 | OU      | $-22252.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                           | Anchorage Capital CLO 21 Ltd                                                                                           | CUSIP: 03331KAC3<br>LEI: 54930063NKPB83QNUF90 | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3857365.20   | 0.07%             | 2034-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                  | USD/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |          1 | NC      | $19551.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | GBP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-5839.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                                 | RMAC Securities No 1 PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    1355309 | PA      | $1548200.96   | 0.03%             | 2044-06-12      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | THREE-MONTH SOFR                                                                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-35925.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | HSTN V. WTI TRD M                                                                                                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-852.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Saxon Asset Securities Trust                        | Saxon Asset Securities Trust 2007-3                                                                                    | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310026 | PA      | $290172.87    | 0.00%             | 2037-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1100000 | PA      | $657508.50    | 0.01%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-700233.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Heavy Industries Ltd                       | Sumitomo Heavy Industries Ltd                                                                                          | CUSIP: 000000000<br>LEI: 353800VSTEIRMBC3S374 | Long             | EC               | CORP              | JP        |      99100 | NS      | $1978464.25   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MIRAIT ONE corp                                     | MIRAIT ONE corp                                                                                                        | CUSIP: 000000000<br>LEI: 353800RI3EZVEIDAEL62 | Long             | EC               | CORP              | JP        |      84800 | NS      | $977349.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HOCHTIEF AG                                         | HOCHTIEF AG                                                                                                            | CUSIP: 000000000<br>LEI: 529900Y25S8NZIYTT924 | Long             | EC               | CORP              | DE        |       1700 | NS      | $95482.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                              | TRS BCOM INDEX                                                                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               | CORP              | CH        |          1 | NC      | $62548.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Zinc                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          4 | NC      | $-10937.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | LIVE CATTLE                                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |         17 | NC      | $14447.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-654.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | EUR/HUF FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9775.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                  | BCOM INDEX                                                                                                             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |   -1230000 | NC      | $-19048.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | GOLD                                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        -15 | NC      | $-171450.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                        | CUSIP: 3140X47J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202714 | PA      | $194963.39    | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -5600000 | OU      | $-2.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DSV A/S                                             | DSV A/S                                                                                                                | CUSIP: 000000000<br>LEI: 529900X41C0BSLK67H70 | Long             | EC               | CORP              | DK        |      37340 | NS      | $5904843.01   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                              | AmeriGas Partners LP / AmeriGas Finance Corp                                                                           | CUSIP: 030981AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $666100.65    | 0.01%             | 2026-08-20      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NATURAL GAS                                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -9 | NC      | $-68931.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                  | Energy Transfer LP                                                                                                     | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     725000 | PA      | $605655.47    | 0.01%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| European Loan Conduit                               | European Loan Conduit No 36 DAC                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     782327 | PA      | $796138.03    | 0.01%             | 2030-02-17      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2005-7                                                                                        | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73662 | PA      | $45361.25     | 0.00%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                          | INR/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4174.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                        | UBS Group AG                                                                                                           | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |     498900 | NS      | $9272668.22   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834MM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1995000 | PA      | $827067.77    | 0.01%             | 2043-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS JMABFNJ2 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-53794.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   45326862 | PA      | $4503445.71   | 0.08%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                      | IndyMac INDA Mortgage Loan Trust 2007-AR1                                                                              | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322651 | PA      | $264149.54    | 0.00%             | 2037-03-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-34685.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                              | Boston Scientific Corp                                                                                                 | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     176961 | NS      | $8187985.47   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS EURMARG3 INDEX                                                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $24363.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | USD/NZD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16549.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Visa Inc                                            | Visa Inc                                                                                                               | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     111106 | NS      | $23083382.56  | 0.40%             |  |  |  | No            |                  1 | On Loan: —       |
| Huntington Bancshares Inc/OH                        | Huntington Bancshares Inc/OH                                                                                           | CUSIP: 446150104<br>LEI: 549300XTVCVV9I7B5T19 | Long             | EC               | CORP              | US        |     780455 | NS      | $11004415.50  | 0.19%             |  |  |  | No            |                  1 | On Loan: —       |
| China Resources Cement Holding                      | China Resources Cement Holdings Ltd                                                                                    | CUSIP: 000000000<br>LEI: 529900E0EOYXYJ0GHY66 | Long             | EC               | CORP              | HK        |    1812000 | NS      | $957555.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |  -26200000 | OU      | $-429853.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOV'T INT BOND                                | Republic of Italy Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1300000 | PA      | $1573913.87   | 0.03%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola HBC AG                                    | Coca-Cola HBC AG                                                                                                       | CUSIP: 000000000<br>LEI: 549300EFP3TNG7JGVE49 | Long             | EC               | CORP              | CH        |      84100 | NS      | $1988023.29   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | BNP Paribas SA                                                                                                         | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     900000 | PA      | $784100.25    | 0.01%             | 2027-06-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   17470000 | OU      | $72567.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | THB/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5498.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | AUD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $32584.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                 | Petroleos Mexicanos                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2684000 | PA      | $2103585.00   | 0.04%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |    -500000 | OU      | $-5824.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL MAKAM BILL                                   | Bank of Israel Bill - Makam                                                                                            | CUSIP: 000000000<br>LEI: M8LYVLF5DOB9X0LZOW72 | Long             | DBT              | NUSS              | IL        |   12400000 | PA      | $3491656.00   | 0.06%             | 2023-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IAC Inc                                             | IAC Inc                                                                                                                | CUSIP: 44891N208<br>LEI: 549300TO56L57RP6P031 | Long             | EC               | CORP              | US        |      21791 | NS      | $967520.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Light Sweet Crude Oil                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         38 | NC      | $93950.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                      | Government National Mortgage Association                                                                               | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3798440 | PA      | $3758996.56   | 0.06%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Ageas SA/NV                                         | Ageas SA/NV                                                                                                            | CUSIP: 000000000<br>LEI: 5493005DJBML6LY3RV36 | Long             | EC               | CORP              | BE        |      49300 | NS      | $2187534.64   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE                                   | Montreal Exchange 10 Year Canadian Bond                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        -47 | NC      | $75003.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mapfre SA                                           | Mapfre SA                                                                                                              | CUSIP: 000000000<br>LEI: 95980020140005693107 | Long             | EC               | CORP              | ES        |    1058800 | NS      | $2048254.39   | 0.04%             |  |  |  | No            |                  2 | On Loan: —       |
| ICE FUTURES EUROPE                                  | 3 Month Euro Euribor                                                                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        314 | NC      | $-2758139.81  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $503553.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14810000 | OU      | $-34399.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                      | Wells Fargo Commercial Mortgage Trust 2022-ONL                                                                         | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1685228.18   | 0.03%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                       | New Residential Mortgage Loan Trust 2021-INV1                                                                          | CUSIP: 64829WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1974240 | PA      | $1577308.91   | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |          1 | NC      | $16210.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                           | Fannie Mae or Freddie Mac                                                                                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9200000 | PA      | $8360338.17   | 0.14%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $67707.55     | 0.00%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | MXN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $18643.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA-GOV'T WI                                     | Canadian When Issued Government Bond                                                                                   | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     800000 | PA      | $449370.75    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Valor Holdings Co Ltd                               | Valor Holdings Co Ltd                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      38700 | NS      | $534187.79    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | NYBOT CSC C Coffee                                                                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -6 | NC      | $25112.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | TRS LLSMEH                                                                                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-15.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitas AB                                        | Securitas AB                                                                                                           | CUSIP: 000000000<br>LEI: 635400TTYKE8EIWDS617 | Long             | EC               | CORP              | SE        |     269971 | NS      | $2252761.50   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                         | Freddie Mac Reference REMIC                                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41665 | PA      | $43183.05     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                            | BX Commercial Mortgage Trust 2021-21M                                                                                  | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1639025 | PA      | $1574791.98   | 0.03%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | TWD/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15166.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   17920000 | OU      | $53665.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-66215.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                      | Bombardier Inc                                                                                                         | CUSIP: 097751BM2<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     780000 | PA      | $771980.12    | 0.01%             | 2025-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                      | Banc of America Funding 2006 J Trust                                                                                   | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232122 | PA      | $211249.15    | 0.00%             | 2047-01-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | CNH/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1519.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $204287.40    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                    | CSC Holdings LLC                                                                                                       | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     700000 | PA      | $385202.57    | 0.01%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -17470000 | OU      | $-22381.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                         | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     400000 | PA      | $360688.13    | 0.01%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                 | Sprint Capital Corp                                                                                                    | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     500000 | PA      | $594783.54    | 0.01%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Tokyo Seimitsu Co Ltd                               | Tokyo Seimitsu Co Ltd                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |      41900 | NS      | $1353717.46   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $4006.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |    -200000 | OU      | $-7389.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                     | Danske Bank A/S                                                                                                        | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | EC               | CORP              | DK        |     151100 | NS      | $2980162.08   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Nexity SA                                           | Nexity SA                                                                                                              | CUSIP: 000000000<br>LEI: 969500JJ71T2DIPDVV84 | Long             | EC               | CORP              | FR        |      29500 | NS      | $823996.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2006-WMC2                                                                       | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33724 | PA      | $13340.27     | 0.00%             | 2036-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                       | Citigroup Mortgage Loan Trust Inc                                                                                      | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      11946 | PA      | $10951.51     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                      | Long Beach Mortgage Loan Trust 2005-WL2                                                                                | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1814969 | PA      | $1766370.80   | 0.03%             | 2035-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| NRW Holdings Ltd                                    | NRW Holdings Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 5493003S2MORCH0HEL95 | Long             | EC               | CORP              | AU        |     760000 | NS      | $1450630.88   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-97624.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION                 | CDS REPUBLIC OF KOREA                                                                                                  | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-5994.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                       | Stratton Mortgage Funding                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2589010 | PA      | $3103504.40   | 0.05%             | 2060-07-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638DU3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3100000 | PA      | $2440862.50   | 0.04%             | 2034-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| ICE FUTURES EUROPE                                  | JETCIFNWE VS BNT1S                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $2241.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CK Hutchison Holdings Ltd                           | CK Hutchison Holdings Ltd                                                                                              | CUSIP: 000000000<br>LEI: 254900Z8HM1VEPOQ2G79 | Long             | EC               | CORP              | HK        |     302500 | NS      | $1812232.66   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -1000000 | OU      | $-2353.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                    | Greywolf CLO III Ltd                                                                                                   | CUSIP: 39809CAN4<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |    2750000 | PA      | $2691065.58   | 0.05%             | 2033-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | CLP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-19676.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1692.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                        | Saxon Asset Securities Trust 2006-2                                                                                    | CUSIP: 80556XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2727615.00   | 0.05%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |    -800000 | OU      | $-1259.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Industrial Realty Trust                       | First Industrial Realty Trust Inc                                                                                      | CUSIP: 32054K103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      53306 | NS      | $2572547.56   | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2992868 | PA      | $326370.46    | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties Inc                                 | VICI Properties Inc                                                                                                    | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     292028 | NS      | $9461707.20   | 0.16%             |  |  |  | No            |                  1 | On Loan: —       |
| KINDER MORGAN ENER PART                             | Kinder Morgan Energy Partners LP                                                                                       | CUSIP: 494550BQ8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     900000 | PA      | $889456.08    | 0.02%             | 2023-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Las Vegas Sands Corp                                | Las Vegas Sands Corp                                                                                                   | CUSIP: 517834107<br>LEI: 549300DUOO1KXOHPM605 | Long             | EC               | CORP              | US        |     100473 | NS      | $4829737.11   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| United Parcel Service Inc                           | United Parcel Service Inc                                                                                              | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |      82006 | NS      | $14255923.04  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Rexford Industrial Realty Inc                       | Rexford Industrial Realty Inc                                                                                          | CUSIP: 76169C100<br>LEI: 549300MSLO0DF0EMX355 | Long             | EC               | CORP              | US        |      42976 | NS      | $2348208.64   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America, National Association               | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9363.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Imerys SA                                           | Imerys SA                                                                                                              | CUSIP: 000000000<br>LEI: 54930075MZSSIB2TGC64 | Long             | EC               | CORP              | FR        |      37200 | NS      | $1449278.30   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -13230000 | OU      | $-75789.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                    | French Republic Government Bond OAT                                                                                    | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1035666 | PA      | $1061067.61   | 0.02%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                               | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $71689.50     | 0.00%             | 2030-01-30      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Vanguard Total International Bond ETF               | Vanguard Total International Bond ETF                                                                                  | CUSIP: 92203J407<br>LEI: N/A                  | Long             | EC               | RF                | US        |     543943 | NS      | $25799216.49  | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Host Hotels & Resorts Inc                           | Host Hotels & Resorts Inc                                                                                              | CUSIP: 44107P104<br>LEI: N6EL63S0K3PB1YFTDI24 | Long             | EC               | CORP              | US        |     106098 | NS      | $1702872.90   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $899.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WI INFL IDX N/B                                     | United States Treasury Inflation Indexed Bonds - When Issued                                                           | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8629335 | PA      | $7748375.25   | 0.13%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                              | Kazakhstan Government International Bond                                                                               | CUSIP: 000000000<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |    1500000 | PA      | $1442899.70   | 0.02%             | 2028-11-09      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-8266.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $287219.03    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sika AG                                             | Sika AG                                                                                                                | CUSIP: 000000000<br>LEI: 549300R3N69ECGYPU434 | Long             | EC               | CORP              | CH        |      14422 | NS      | $3467095.20   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                  | Dominican Republic International Bond                                                                                  | CUSIP: 25714PEP9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    5100000 | PA      | $4670643.75   | 0.08%             | 2029-02-22      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Keyence Corp                                        | Keyence Corp                                                                                                           | CUSIP: 000000000<br>LEI: 529900M7PQBS7A89DZ11 | Long             | EC               | CORP              | JP        |      20900 | NS      | $8114315.95   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS SOFRRATE                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-1555049.47  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-498151.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS EUR                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-13333.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayerische Motoren Werke AG                         | Bayerische Motoren Werke AG                                                                                            | CUSIP: 000000000<br>LEI: YEH5ZCD6E441RHVHD759 | Long             | EC               | CORP              | DE        |      47400 | NS      | $4196562.41   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP Group Ltd                                       | BHP Group Ltd                                                                                                          | CUSIP: 000000000<br>LEI: WZE1WSENV6JSZFK0JC28 | Long             | EC               | CORP              | AU        |     126400 | NS      | $3915485.84   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12525066 | PA      | $12182050.79  | 0.21%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -4500000 | OU      | $-1.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                | ACE Securities Corp Home Equity Loan Trust Series 2005-WF1                                                             | CUSIP: 004421QR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275660 | PA      | $275181.40    | 0.00%             | 2035-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | IRS MYR                                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |          1 | NC      | $2812.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $1112.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                                  | Banco Santander SA                                                                                                     | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $176849.06    | 0.00%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                           | L3Harris Technologies Inc                                                                                              | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |      65642 | NS      | $13667320.82  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | SWOP CDS GS_21-PJ-A                                                                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -10270000 | OU      | $-167.68      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BANCO SANTANDER SA                                  | Banco Santander SA                                                                                                     | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $597123.66    | 0.01%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Citibank, National Association                      | USD/PEN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-25436.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                  | Realkredit Danmark A/S                                                                                                 | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2091496 | PA      | $218116.37    | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | TRS BCOMTR INDEX                                                                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DE               | CORP              | US        |          1 | NC      | $-218836.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | GBP/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-61062.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                              | Lumen Technologies Inc                                                                                                 | CUSIP: 156700AM8<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     650000 | PA      | $442951.00    | 0.01%             | 2039-09-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Primary Aluminum                                                                                                   | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          4 | NC      | $-7111.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $107243.03    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | GASOLINE RBOB                                                                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $7852.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Mortgage Secur                      | Banc of America Mortgage 2005-E Trust                                                                                  | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7442 | PA      | $6194.79      | 0.00%             | 2035-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | USD/TWD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |          1 | NC      | $87.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mid-America Apartment Communit                      | Mid-America Apartment Communities Inc                                                                                  | CUSIP: 59522J103<br>LEI: 549300FQZKFR5YNSHZ21 | Long             | EC               | CORP              | US        |      19551 | NS      | $3069311.49   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SMC Corp                                            | SMC Corp                                                                                                               | CUSIP: 000000000<br>LEI: 353800O40V08DOZ70X62 | Long             | EC               | CORP              | JP        |       9700 | NS      | $4050271.98   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | EUR/PLN FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6829.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                               | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     700000 | PA      | $634452.00    | 0.01%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                          | Vertex Pharmaceuticals Inc                                                                                             | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      35559 | NS      | $10268728.02  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CSAB Mortgage Backed Trust                          | CSAB Mortgage-Backed Trust 2006-4                                                                                      | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33058 | PA      | $7070.89      | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                      | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust                                               | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57864 | PA      | $21562.59     | 0.00%             | 2036-10-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                      | Credit-Based Asset Servicing and Securitization LLC                                                                    | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27169 | PA      | $17954.23     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                             | Home Equity Asset Trust 2005-9                                                                                         | CUSIP: 437084QY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     822874 | PA      | $804031.75    | 0.01%             | 2036-04-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co                             | Arthur J Gallagher & Co                                                                                                | CUSIP: 363576109<br>LEI: 54930049QLLMPART6V29 | Long             | EC               | CORP              | US        |      10526 | NS      | $1984572.04   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC              | TRS DWRTFT                                                                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-83268.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association               | CZK/EUR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $28608.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                       | USD/ZAR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-32219.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                              | SWOP IRS EUR                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              | CORP              | US        |   -5600000 | OU      | $-89195.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-149408.39   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                              | Nykredit Realkredit AS                                                                                                 | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   10450905 | PA      | $1135501.02   | 0.02%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                              | United States Treasury Strip Coupon                                                                                    | CUSIP: 912834AU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     505000 | PA      | $256760.94    | 0.00%             | 2039-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                         | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1500000 | PA      | $1263766.58   | 0.02%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Lintec Corp                                         | Lintec Corp                                                                                                            | CUSIP: 000000000<br>LEI: 3538002YOJO0IAM1PD28 | Long             | EC               | CORP              | JP        |      84700 | NS      | $1374833.68   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-7226.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS NZD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-276676.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                                | Petronas Capital Ltd                                                                                                   | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |    1000000 | PA      | $901750.00    | 0.02%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                             | Becton Dickinson and Co                                                                                                | CUSIP: 075887406<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EP               | CORP              | US        |      28877 | NS      | $1446160.16   | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                    | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     700000 | PA      | $534628.36    | 0.01%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association           | USD/CNH FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2013.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                               | Bausch Health Cos Inc                                                                                                  | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     225000 | PA      | $108000.00    | 0.00%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX HENRY HUB NATURAL GAS                                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -1 | NC      | $4202.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION               | TRS IBOXIG INDEX                                                                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DE               | CORP              | US        |          1 | NC      | $299101.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                              | Standard Chartered PLC                                                                                                 | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $376447.10    | 0.01%             | 2032-06-29      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $62104.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tate & Lyle PLC                                     | Tate & Lyle PLC                                                                                                        | CUSIP: 000000000<br>LEI: 2138008K14474WPKZ244 | Long             | EC               | CORP              | GB        |      65462 | NS      | $560827.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-105785.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS PETROLEOS MEXICANOS SA                                                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-1093.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92982.03     | 0.00%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                               | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1700000 | PA      | $898073.15    | 0.02%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | US ULTRA TREASURY BOND                                                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        187 | NC      | $-379943.18   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS USD                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $458930.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                              | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $67801.75     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF TURKEY                                  | Turkey Government International Bond                                                                                   | CUSIP: 900123BJ8<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    2300000 | PA      | $1661750.00   | 0.03%             | 2041-01-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                      | RALI Series 2006-QS6 Trust                                                                                             | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384624 | PA      | $309194.03    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arkema SA                                           | Arkema SA                                                                                                              | CUSIP: 000000000<br>LEI: 9695000EHMS84KKP2785 | Long             | EC               | CORP              | FR        |      23800 | NS      | $2140688.97   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS EUR                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-47800.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Estee Lauder Cos Inc/The                            | Estee Lauder Cos Inc/The                                                                                               | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      23994 | NS      | $5953151.34   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | HUF/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $734408.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE NEWCASTLE COAL                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -1 | NC      | $-82859.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     800000 | PA      | $670018.16    | 0.01%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         45 | NC      | $229681.85    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CK Asset Holdings Ltd                               | CK Asset Holdings Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 5299006GJZSGP78B8S35 | Long             | EC               | CORP              | HK        |     194000 | NS      | $1189835.83   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                                | Saudi Arabian Oil Co                                                                                                   | CUSIP: 000000000<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     200000 | PA      | $163475.00    | 0.00%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                               | American Homes 4 Rent                                                                                                  | CUSIP: 02665T306<br>LEI: 549300ZJUO7A58PNUW40 | Long             | EC               | CORP              | US        |     120079 | NS      | $3619181.06   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                         | Freddie Mac REMICS                                                                                                     | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353283 | PA      | $348090.64    | 0.01%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Rubis SCA                                           | Rubis SCA                                                                                                              | CUSIP: 000000000<br>LEI: 969500MGFIKUGLTC9742 | Long             | EC               | CORP              | FR        |      57700 | NS      | $1519364.34   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | ICE Brent Crude Oil                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -4 | NC      | $-13415.61    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-114193.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                            | Bear Stearns ALT-A Trust 2006-5                                                                                        | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141255 | PA      | $74303.40     | 0.00%             | 2036-08-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30456750 | PA      | $28700995.11  | 0.49%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                  | Meta Platforms Inc                                                                                                     | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |      98515 | NS      | $11855295.10  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                            | Diamond Sports Group LLC                                                                                               | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |      72729 | PA      | $67638.25     | 0.00%             | 2026-05-25      | Floating      | 12.33%                | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2930000 | PA      | $2620060.94   | 0.04%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Infineon Technologies AG                            | Infineon Technologies AG                                                                                               | CUSIP: 000000000<br>LEI: TSI2PJM6EPETEQ4X1U25 | Long             | EC               | CORP              | DE        |     309715 | NS      | $9412835.79   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14860000 | OU      | $-26264.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-413254.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | Reperforming Loan REMIC Trust 2004-R2                                                                                  | CUSIP: 12669UCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471243 | PA      | $443505.97    | 0.01%             | 2034-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -13230000 | OU      | $-848.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | TRS COM FWD BAPA CAL23                                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $-313541.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | USD/KRW FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3786.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.HY.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |   -2972000 | OU      | $-10944.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                   | Chile Government International Bond                                                                                    | CUSIP: 168863DX3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    1500000 | PA      | $1376062.50   | 0.02%             | 2027-01-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| CBRE Group Inc                                      | CBRE Group Inc                                                                                                         | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |       8126 | NS      | $625376.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                   | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              | CORP              | GB        |   -1800000 | OU      | $-0.32        | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS IFS GBP                                                                                                            | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $174076.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                       | RFMSI Series 2006-SA1 Trust                                                                                            | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20375 | PA      | $16828.05     | 0.00%             | 2036-02-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                              | Equitable Holdings Inc                                                                                                 | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |     409163 | NS      | $11742978.10  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | USD/AUD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6976.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sompo Holdings Inc                                  | Sompo Holdings Inc                                                                                                     | CUSIP: 000000000<br>LEI: 353800CWW4SRGEYEB512 | Long             | EC               | CORP              | JP        |      30800 | NS      | $1362687.84   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                              | ICE US - Henry Ld1 Fixed Price                                                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-1837.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO                                     | Nissan Motor Co Ltd                                                                                                    | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2400000 | PA      | $2174853.84   | 0.04%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Europacific Partners                      | Coca-Cola Europacific Partners PLC                                                                                     | CUSIP: 000000000<br>LEI: 549300LTH67W4GWMRF57 | Long             | EC               | CORP              | GB        |       1500 | NS      | $82980.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Take-Two Interactive Software                       | Take-Two Interactive Software Inc                                                                                      | CUSIP: 874054109<br>LEI: BOMSTHHJK882EWYX3334 | Long             | EC               | CORP              | US        |      14116 | NS      | $1469899.08   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman XS Trust                                     | Lehman XS Trust Series 2007-20N                                                                                        | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     922899 | PA      | $905011.53    | 0.02%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS CAD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $-537149.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Novo Nordisk A/S                                    | Novo Nordisk A/S                                                                                                       | CUSIP: 000000000<br>LEI: 549300DAQ1CVT6CXN342 | Long             | EC               | CORP              | DK        |      83935 | NS      | $11399679.22  | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC   | PEN/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |          1 | NC      | $396.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Coloplast A/S                                       | Coloplast A/S                                                                                                          | CUSIP: 000000000<br>LEI: 529900NN7SOJ5QG82X67 | Long             | EC               | CORP              | DK        |      33296 | NS      | $3900716.89   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| 3i Group PLC                                        | 3i Group PLC                                                                                                           | CUSIP: 000000000<br>LEI: 35GDVHRBMFE7NWATNM84 | Long             | EC               | CORP              | GB        |     151900 | NS      | $2449743.47   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                      | CDS UNITED MEXICAN STATES                                                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-344.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                 | Fifth Third Bancorp                                                                                                    | CUSIP: 316773100<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | EC               | CORP              | US        |     214504 | NS      | $7037876.24   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX Platinum                                                                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-14035.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                          | SGX ASIACLEAR TSI IRON ORE CFR CHINA 62% FE FINES INDEX                                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DCO              | CORP              | SG        |         81 | NC      | $194394.16    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MARKS & SPENCER PLC                                 | Marks & Spencer PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1188500.61   | 0.02%             | 2023-12-08      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | CRUDE OIL                                                                                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -4 | NC      | $-1280.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| St Barbara Ltd                                      | St Barbara Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 2549001WR6XSXNOD1F93 | Long             | EC               | CORP              | AU        |     859100 | NS      | $459221.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                                  | Walt Disney Co/The                                                                                                     | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     161721 | NS      | $14050320.48  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                     | United States Treasury Note/Bond                                                                                       | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $201093.75    | 0.00%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Veeva Systems Inc                                   | Veeva Systems Inc                                                                                                      | CUSIP: 922475108<br>LEI: 549300YZEXPDB92M2F02 | Long             | EC               | CORP              | US        |       2433 | NS      | $392637.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                             | GSR Mortgage Loan Trust 2005-AR2                                                                                       | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54225 | PA      | $48667.31     | 0.00%             | 2035-04-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| United Internet AG                                  | United Internet AG                                                                                                     | CUSIP: 000000000<br>LEI: 3VEKWPJHTD4NKMBVG947 | Long             | EC               | CORP              | DE        |      59100 | NS      | $1191728.41   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                              | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    1400000 | PA      | $1346450.00   | 0.02%             | 2051-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Kering SA                                           | Kering SA                                                                                                              | CUSIP: 000000000<br>LEI: 549300VGEJKB7SVUZR78 | Long             | EC               | CORP              | FR        |       2965 | NS      | $1508971.28   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIDU INC                                           | Baidu Inc                                                                                                              | CUSIP: 056752AJ7<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |    2000000 | PA      | $1833740.00   | 0.03%             | 2027-07-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21822260 | PA      | $20730227.85  | 0.36%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                            | EUR/CZK FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4027.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | BRENT CRUDE OIL                                                                                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |         -3 | NC      | $5007.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Retail Opportunity Investments                      | Retail Opportunity Investments Corp                                                                                    | CUSIP: 76131N101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      66754 | NS      | $1003312.62   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX Cos Inc/The                                     | TJX Cos Inc/The                                                                                                        | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |      68963 | NS      | $5489454.80   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19313703 | PA      | $17038189.75  | 0.29%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| National Storage Affiliates Tr                      | National Storage Affiliates Trust                                                                                      | CUSIP: 637870106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      70200 | NS      | $2535624.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                           | LME Lead                                                                                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -5 | NC      | $-20068.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurosail Plc                                        | Eurosail-UK 2007-3bl PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      74900 | PA      | $89194.29     | 0.00%             | 2045-06-13      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Aegon NV                                            | Aegon NV                                                                                                               | CUSIP: 000000000<br>LEI: O4QK7KMMK83ITNTHUG69 | Long             | EC               | CORP              | NL        |     490500 | NS      | $2485204.78   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                      | Structured Asset Investment Loan Trust 2005-6                                                                          | CUSIP: 86358EUC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2925629 | PA      | $2794411.85   | 0.05%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                   | TRS DWRTFT EQUITY                                                                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DE               | CORP              | GB        |          1 | NC      | $-41641.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                 | TRS SOFRRATE                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |          1 | NC      | $-32944.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                      | DKK/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6466.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION           | IRS GBP                                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $33272.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                          | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                                                        | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |      13852 | PA      | $12044.55     | 0.00%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| TSMC                                                | Taiwan Semiconductor Manufacturing Co Ltd                                                                              | CUSIP: 000000000<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |     562000 | NS      | $8162186.37   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.         | CBOT Soybean Meal                                                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         57 | NC      | $374380.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2314446.58  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BBVA                                                | Banco Bilbao Vizcaya Argentaria SA                                                                                     | CUSIP: 000000000<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | EC               | CORP              | ES        |     417600 | NS      | $2515317.17   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                | Tencent Holdings Ltd                                                                                                   | CUSIP: 88032XAV6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    1250000 | PA      | $785000.00    | 0.01%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                     | United States Treasury Inflation Indexed Bonds                                                                         | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6769551 | PA      | $6376056.21   | 0.11%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                    | CSC Holdings LLC                                                                                                       | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     690000 | PA      | $450120.95    | 0.01%             | 2031-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | THB/USD FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-630.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX: WTI-Brent (ICE) Calendar Swap                                                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          1 | NC      | $-102.32      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                  | NYMEX / CME GLOBEX NATURAL GAS PENULTIMATE                                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         12 | NC      | $-91466.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United Wholesale Mortgage LLC                       | UWM Mortgage Trust 2021-INV4                                                                                           | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1754408 | PA      | $1399394.47   | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                            | COMEX GOLD 100 TROY OUNCES                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         -2 | NC      | $-1120.96     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CIFC Funding Ltd                                    | CIFC Funding 2018-II Ltd                                                                                               | CUSIP: 17180WAA3<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2458578.25   | 0.04%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                             | GA Global Funding Trust                                                                                                | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     500000 | PA      | $440927.37    | 0.01%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2021-2, Ltd.                                | TCW CLO 2021-2 Ltd                                                                                                     | CUSIP: 87190MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1946920.80   | 0.03%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                  | LOSULGO1 VS BNT1S                                                                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          1 | NC      | $-544.07      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Anglo American PLC                                  | Anglo American PLC                                                                                                     | CUSIP: 000000000<br>LEI: 549300S9XF92D1X8ME43 | Long             | EC               | CORP              | GB        |     121800 | NS      | $4769674.47   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                      | SWOP CDS CDX.NA.IG.39.V1                                                                                               | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | N/A              | DCR              | CORP              | US        |  -14810000 | OU      | $-7320.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Assets Trust Inc                           | American Assets Trust Inc                                                                                              | CUSIP: 024013104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      31602 | NS      | $837453.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Imperial Brands PLC                                 | Imperial Brands PLC                                                                                                    | CUSIP: 000000000<br>LEI: 549300DFVPOB67JL3A42 | Long             | EC               | CORP              | GB        |     129900 | NS      | $3235956.94   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                  | Mattamy Group Corp                                                                                                     | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |     925000 | PA      | $751562.50    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF EL SALVADOR                             | El Salvador Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    1300000 | PA      | $562900.00    | 0.01%             | 2027-01-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                             | USD/MYR FORWARD                                                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3789.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                       | UniCredit SpA                                                                                                          | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    6200000 | PA      | $6258230.40   | 0.11%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                 | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1781200 | PA      | $814676.35    | 0.01%             | 2035-07-31      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                   | NatWest Group PLC                                                                                                      | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $699837.53    | 0.01%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| iShares 1-3 Year Treasury Bond ETF                  | iShares 1-3 Year Treasury Bond ETF                                                                                     | CUSIP: 464287457<br>LEI: 549300W0WX9TL4G6HM56 | Long             | EC               | RF                | US        |       9772 | NS      | $793193.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                         | Freddie Mac Non Gold Pool                                                                                              | CUSIP: 3128NCE83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $162.94       | 0.00%             | 2035-03-01      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                           | IRS USD                                                                                                                | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $462681.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                    | SWOP IRS USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              | CORP              | DE        |    7600000 | OU      | $1684285.70   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                 | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3900000 | PA      | $975706.20    | 0.02%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24              | SFE 3 YEAR AUSTRALIAN BOND                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        -36 | NC      | $32934.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                                  | Ford Motor Co                                                                                                          | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1103319.92   | 0.02%             | 2043-01-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK                             | IRS THB                                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $1141.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                    | LEAN HOGS                                                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |        -24 | NC      | $-19715.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Advanced Series Trust

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Treasurer and Principal Financial and Accounting Officer