# EDGAR Filing Document

**Accession Number:** 0000827773
**File Stem:** 0000869392-23-000666
**Filing Date:** 2023-3
**Character Count:** 535733
**Document Hash:** 159be000d75fd561fa548eb26b5053a2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000666.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0000869392-23-000666

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM PREMIER INCOME TRUST
- **CENTRAL INDEX KEY:** 0000827773
- **IRS NUMBER:** 042995046
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05452
- **FILM NUMBER:** 23774451

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Premier Income Trust

- **b. Investment Company Act file number:** 811-05452

- **c. CIK number of Registrant:** 0000827773

- **d. LEI of Registrant:** G5048SOHSFOQHNEL1E85

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Premier Income Trust

- **c. LEI of Series:** G5048SOHSFOQHNEL1E85

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

- **a. Date of fiscal year-end:** 2023-07-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1046622404.06

**Total Liabilities:** $657098095.17

**Net Assets:** $389524308.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0 | **1-Year:** 0 | **5-Year:** 6089.45 | **10-Year:** 71966.3 | **30-Year:** 57858.08

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

- **3-Month:** 255.34 | **1-Year:** 5154.25 | **5-Year:** 19321.65 | **10-Year:** 8964.56 | **30-Year:** 340.79

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 5.93%                | -1.47%               | 2.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9192856.86             | $17637756.77                               |
| Month 2  | $6733669.55              | $-10115439.21                              |
| Month 3  | $-1561911.43             | $16452871.74                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP MORTGAGE LOAN TRUST INC                                           | ASSET BACKED SECURITY                 | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1655755 | PA      | $1369437.71   | 0.35%             | 2037-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                           | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346000 | PA      | $302098.00    | 0.08%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                            | ASSET BACKED SECURITY                 | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1033000 | PA      | $930858.41    | 0.24%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-5                                            | ASSET BACKED SECURITY                 | CUSIP: 89176VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815000 | PA      | $653925.27    | 0.17%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BWAY CORP                                                                   | BANK LOAN NOTE                        | CUSIP: 05604XAP1<br>LEI: 549300RY13CUZRBP7216 | Long             | DBT              | CORP              | US        |    344090 | PA      | $340648.81    | 0.09%             | 2024-04-03      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300DNGHXL0OMHW304       | Long             | DBT              | CORP              | US        |     85000 | PA      | $84150.00     | 0.02%             | 2026-08-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| WERNER FINCO LP                                                             | BANK LOAN NOTE                        | CUSIP: 95075EAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     76628 | PA      | $69252.48     | 0.02%             | 2024-07-24      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| ROBERTSHAW US HOLDING CORP                                                  | BANK LOAN NOTE                        | CUSIP: 77051UAH2<br>LEI: 549300NMXRV2JIXFIY04 | Long             | DBT              | CORP              | US        |    162000 | PA      | $75735.00     | 0.02%             | 2026-02-28      | Floating      | 12.75%                | No            |                  2 | On Loan: No      |
| TAMKO BUILDING PRODUCTS LLC                                                 | BANK LOAN NOTE                        | CUSIP: 87510EAB5<br>LEI: 5493003VQCGZ0AORLH30 | Long             | DBT              | CORP              | US        |    555469 | PA      | $547136.94    | 0.14%             | 2026-05-29      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                          | BANK LOAN NOTE                        | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    497344 | PA      | $472243.01    | 0.12%             | 2026-08-21      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| FOREST CITY ENTERPRISES LP                                                  | BANK LOAN NOTE                        | CUSIP: 34555QAF7<br>LEI: 54930078MCT017XXRD21 | Long             | DBT              | CORP              | US        |    185143 | PA      | $173941.71    | 0.04%             | 2025-12-07      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                    | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300SHPNDCE059M934       | Long             | DBT              | CORP              | US        |    131629 | PA      | $129489.85    | 0.03%             | 2027-02-04      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE INC                                                 | BANK LOAN NOTE                        | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |    160491 | PA      | $118361.81    | 0.03%             | 2025-10-02      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| GENESYS CLOUD SERVICES HOLDINGS II LLC                                      | BANK LOAN NOTE                        | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | DBT              | CORP              | US        |    397223 | PA      | $389528.74    | 0.10%             | 2027-12-01      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300FYK4MBXWIVZU26       | Long             | DBT              | CORP              | CA        |    428813 | PA      | $429529.12    | 0.11%             | 2025-05-31      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| CMG MEDIA CORP                                                              | BANK LOAN NOTE                        | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    264164 | PA      | $250076.02    | 0.06%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                                | BANK LOAN NOTE                        | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    119093 | PA      | $118126.16    | 0.03%             | 2028-01-29      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                 | BANK LOAN NOTE                        | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |     68947 | PA      | $65018.74     | 0.02%             | 2027-07-31      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                       | BANK LOAN NOTE                        | CUSIP: 02376CBJ3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    120000 | PA      | $123130.80    | 0.03%             | 2028-04-20      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| ADIENT US LLC                                                               | BANK LOAN NOTE                        | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | DBT              | CORP              | US        |    172375 | PA      | $171728.59    | 0.04%             | 2028-04-01      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| ONE CALL CORP                                                               | BANK LOAN NOTE                        | CUSIP: 68235XAB7<br>LEI: 549300WUCCV86ZQHG041 | Long             | DBT              | CORP              | US        |    148581 | PA      | $123508.10    | 0.03%             | 2027-04-22      | Floating      | 10.38%                | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | BANK LOAN NOTE                        | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    250538 | PA      | $249976.30    | 0.06%             | 2028-04-21      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                                               | BANK LOAN NOTE                        | CUSIP: 12657QAB9<br>LEI: 549300LPL012JY5D4B69 | Long             | DBT              | CORP              | US        |    206850 | PA      | $207056.85    | 0.05%             | 2028-05-27      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                        | BANK LOAN NOTE                        | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |    370312 | PA      | $352352.34    | 0.09%             | 2026-06-29      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                       | BANK LOAN NOTE                        | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560052 | PA      | $549959.39    | 0.14%             | 2027-07-22      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| VISION SOLUTIONS INC                                                        | BANK LOAN NOTE                        | CUSIP: 70477BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    448864 | PA      | $393428.98    | 0.10%             | 2028-04-24      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                         | BANK LOAN NOTE                        | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465033 | PA      | $460466.79    | 0.12%             | 2027-10-19      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                    | BANK LOAN NOTE                        | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | DBT              | CORP              | US        |    208061 | PA      | $15691.95     | 0.00%             | 2026-08-24      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                              | BANK LOAN NOTE                        | CUSIP: 74345HAD3<br>LEI: 529900C5FODDK0WSR085 | Long             | DBT              | CORP              | US        |    115000 | PA      | $110400.00    | 0.03%             | 2029-08-31      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAG6<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |    149923 | PA      | $36731.13     | 0.01%             | 2027-03-31      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAF8<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     61232 | PA      | $24339.69     | 0.01%             | 2027-03-31      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                    | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 04EEB871XLHVNY4RZJ65       | Long             | DBT              | CORP              | US        |    288000 | PA      | $265320.00    | 0.07%             | 2029-03-30      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                      | BANK LOAN NOTE                        | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | DBT              | CORP              | US        |    545000 | PA      | $547043.75    | 0.14%             | 2029-12-07      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: EM7QGKC1GYOF3LSZSL80       | Long             | DBT              | CORP              | US        |   1079000 | PA      | $1079453.18   | 0.28%             | 2029-12-08      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                            | BANK LOAN NOTE                        | CUSIP: 64072UAM4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    391771 | PA      | $370960.45    | 0.10%             | 2028-01-14      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                               | BANK LOAN NOTE                        | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |    571468 | PA      | $532385.07    | 0.14%             | 2024-06-21      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| TIAA REAL ESTATE CDO LTD                                                    | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 88631FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081996 | PA      | $10.82        | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MEZZ CAP COMMERCIAL MORTGAGE TRUST                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 59317EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26213 | PA      | $0.26         | 0.00%             | 2049-12-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    514000 | PA      | $450217.23    | 0.12%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $752821.50    | 0.19%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $733338.28    | 0.19%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    574000 | PA      | $495755.30    | 0.13%             | 2047-09-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914000 | PA      | $530663.83    | 0.14%             | 2047-02-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $943963.73    | 0.24%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1493000 | PA      | $1306125.67   | 0.34%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275000 | PA      | $1082445.00   | 0.28%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $465749.85    | 0.12%             | 2048-04-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| RREF 2012 LT1 LLC                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 76243NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046000 | PA      | $1012005.00   | 0.26%             | 2037-01-19      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1421000 | PA      | $1273270.99   | 0.33%             | 2051-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982545 | PA      | $983681.72    | 0.25%             | 2037-06-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NWPT                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511000 | PA      | $509403.13    | 0.13%             | 2024-09-09      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $640685.31    | 0.16%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182000 | PA      | $895720.19    | 0.23%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BWAY 2022-26BW MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247000 | PA      | $856336.10    | 0.22%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $433912.94    | 0.11%             | 2047-06-10      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802000 | PA      | $561680.70    | 0.14%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1198603 | PA      | $1134498.67   | 0.29%             | 2049-10-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    689000 | PA      | $449710.30    | 0.12%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   1558000 | PA      | $1470353.00   | 0.38%             | 2050-03-25      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $406836.40    | 0.10%             | 2053-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842000 | PA      | $573692.91    | 0.15%             | 2051-04-10      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   1988000 | PA      | $405919.38    | 0.10%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2018-COR3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672000 | PA      | $449671.08    | 0.12%             | 2051-05-10      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576000 | PA      | $505033.06    | 0.13%             | 2051-07-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2827000 | PA      | $1671211.02   | 0.43%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    919000 | PA      | $628265.16    | 0.16%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597000 | PA      | $394617.00    | 0.10%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616000 | PA      | $587544.56    | 0.15%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1277627.98   | 0.33%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534000 | PA      | $446655.92    | 0.11%             | 2058-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863000 | PA      | $713464.02    | 0.18%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    689000 | PA      | $592807.88    | 0.15%             | 2048-06-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE26 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658000 | PA      | $539869.65    | 0.14%             | 2048-10-10      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |    446000 | PA      | $397451.29    | 0.10%             | 2048-09-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |   1087000 | PA      | $872809.91    | 0.22%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   2218000 | PA      | $370464.33    | 0.10%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279000 | PA      | $923481.36    | 0.24%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $531650.79    | 0.14%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $476022.12    | 0.12%             | 2050-09-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629000 | PA      | $523268.87    | 0.13%             | 2050-08-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |    384505 | PA      | $354025.28    | 0.09%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20215 | PA      | $19507.02     | 0.01%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1113000 | PA      | $203926.09    | 0.05%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1068000 | PA      | $875760.00    | 0.22%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2004-C15                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 929766WV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36328 | PA      | $32778.68     | 0.01%             | 2041-10-15      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659000 | PA      | $513426.90    | 0.13%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663000 | PA      | $633239.26    | 0.16%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687000 | PA      | $430678.31    | 0.11%             | 2045-12-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAQ8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1423000 | PA      | $1410678.24   | 0.36%             | 2046-02-10      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17320DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    703000 | PA      | $690268.67    | 0.18%             | 2046-04-10      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508000 | PA      | $436067.56    | 0.11%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1312000 | PA      | $859239.69    | 0.22%             | 2046-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $133960.26    | 0.03%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    356000 | PA      | $147398.17    | 0.04%             | 2046-07-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265000 | PA      | $671770.15    | 0.17%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457000 | PA      | $437389.08    | 0.11%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $645018.29    | 0.17%             | 2047-01-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE3 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624PAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1755510 | PA      | $782014.40    | 0.20%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    537000 | PA      | $536853.40    | 0.14%             | 2045-11-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1476000 | PA      | $14.76        | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2173000 | PA      | $1558321.32   | 0.40%             | 2047-02-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $813552.88    | 0.21%             | 2047-04-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1807000 | PA      | $849290.00    | 0.22%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277000 | PA      | $271362.50    | 0.07%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C12                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92937FAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $406937.50    | 0.10%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2187000 | PA      | $748828.80    | 0.19%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $1602048.00   | 0.41%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $534571.13    | 0.14%             | 2047-04-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1404000 | PA      | $876838.72    | 0.23%             | 2047-11-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823000 | PA      | $1127137.20   | 0.29%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                                              | CONV. NOTE                            | CUSIP: 48123VAD4<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |    157000 | PA      | $165792.00    | 0.04%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |    304000 | PA      | $275880.00    | 0.07%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MONGODB INC                                                                 | CONV. NOTE                            | CUSIP: 60937PAD8<br>LEI: 549300TPTG69WKWE1Z37 | Long             | DBT              | CORP              | US        |    103000 | PA      | $126175.00    | 0.03%             | 2026-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| PEGASYSTEMS INC                                                             | CONV. NOTE                            | CUSIP: 705573AB9<br>LEI: 549300FMCOKPL06FYN26 | Long             | DBT              | CORP              | US        |    159000 | PA      | $138628.13    | 0.04%             | 2025-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                                         | CONV. NOTE                            | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |    308000 | PA      | $274890.00    | 0.07%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                        | CONV. NOTE                            | CUSIP: 09857LAN8<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    181000 | PA      | $257707.80    | 0.07%             | 2025-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BURLINGTON STORES INC                                                       | CONV. NOTE                            | CUSIP: 122017AB2<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |    113000 | PA      | $139978.75    | 0.04%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAJ0<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    164000 | PA      | $175726.00    | 0.05%             | 2025-05-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| IRONWOOD PHARMACEUTICALS INC                                                | CONV. NOTE                            | CUSIP: 46333XAH1<br>LEI: 549300PC8MR6QHH6P296 | Long             | DBT              | CORP              | US        |    111000 | PA      | $116716.50    | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    379000 | PA      | $375210.00    | 0.10%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                         | CONV. NOTE                            | CUSIP: 925550AB1<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |    109000 | PA      | $113087.50    | 0.03%             | 2024-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEUROCRINE BIOSCIENCES INC                                                  | CONV. NOTE                            | CUSIP: 64125CAD1<br>LEI: 549300FECER0XBN49756 | Long             | DBT              | CORP              | US        |     92000 | PA      | $134734.00    | 0.03%             | 2024-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                                      | CONV. NOTE                            | CUSIP: 472145AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    252000 | PA      | $247432.50    | 0.06%             | 2024-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONV. NOTE                            | CUSIP: 531229AB8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     84000 | PA      | $109830.00    | 0.03%             | 2023-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 516544AA1<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |    112000 | PA      | $119492.80    | 0.03%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                         | CONV. NOTE                            | CUSIP: 05464CAA9<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     36000 | PA      | $38664.00     | 0.01%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                               | CONV. NOTE                            | CUSIP: 538034AZ2<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    377000 | PA      | $404332.50    | 0.10%             | 2029-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CONMED CORP                                                                 | CONV. NOTE                            | CUSIP: 207410AG6<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |     84000 | PA      | $79926.00     | 0.02%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CONV. NOTE                            | CUSIP: 780153BP6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |    215000 | PA      | $328197.50    | 0.08%             | 2025-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                               | CONV. NOTE                            | CUSIP: 977852AC6<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |    145000 | PA      | $140812.70    | 0.04%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JOHN BEAN TECHNOLOGIES CORP                                                 | CONV. NOTE                            | CUSIP: 477839AB0<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |    183000 | PA      | $168634.50    | 0.04%             | 2026-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ETSY INC                                                                    | CONV. NOTE                            | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |    400000 | PA      | $359760.00    | 0.09%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY INC/THE                                                  | CONV. NOTE                            | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |    148000 | PA      | $128667.50    | 0.03%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                                         | CONV. NOTE                            | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |    201000 | PA      | $167835.00    | 0.04%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UPWORK INC                                                                  | CONV. NOTE                            | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |    160000 | PA      | $125808.00    | 0.03%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BEAUTY HEALTH CO/THE                                                        | CONV. NOTE                            | CUSIP: 88331LAA6<br>LEI: 5493001Z2JZQT4C63C50 | Long             | DBT              | CORP              | US        |    144000 | PA      | $117810.00    | 0.03%             | 2026-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IMPINJ INC                                                                  | CONV. NOTE                            | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |    128000 | PA      | $175206.40    | 0.04%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PERFICIENT INC                                                              | CONV. NOTE                            | CUSIP: 71375UAF8<br>LEI: 549300HTBXKL2755T650 | Long             | DBT              | CORP              | US        |     78000 | PA      | $63133.20     | 0.02%             | 2026-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HBK6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |    181000 | PA      | $142537.50    | 0.04%             | 2027-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONV. NOTE                            | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    217000 | PA      | $173871.25    | 0.04%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS INC                                                   | CONV. NOTE                            | CUSIP: 40637HAD1<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |    331000 | PA      | $309898.75    | 0.08%             | 2027-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                                                    | CONV. NOTE                            | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |    152000 | PA      | $137940.00    | 0.04%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                        | CONV. NOTE                            | CUSIP: 477143AP6<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |    163000 | PA      | $128851.50    | 0.03%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                                      | CONV. NOTE                            | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     95000 | PA      | $90202.50     | 0.02%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                       | CONV. NOTE                            | CUSIP: 844741BG2<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    258000 | PA      | $309342.00    | 0.08%             | 2025-05-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL VISION HOLDINGS INC                                                | CONV. NOTE                            | CUSIP: 63845RAB3<br>LEI: 549300JHURCBLI5ROA42 | Long             | DBT              | CORP              | US        |     81000 | PA      | $116032.50    | 0.03%             | 2025-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                                                  | CONV. NOTE                            | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |    190000 | PA      | $200070.00    | 0.05%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL INC                                                 | CONV. NOTE                            | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |    144000 | PA      | $162000.00    | 0.04%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ZILLOW GROUP INC                                                            | CONV. NOTE                            | CUSIP: 98954MAH4<br>LEI: 2549002XEELQDIR6FU05 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102450.00    | 0.03%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                                                   | CONV. NOTE                            | CUSIP: 338307AD3<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |    104000 | PA      | $98228.00     | 0.03%             | 2025-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TELADOC HEALTH INC                                                          | CONV. NOTE                            | CUSIP: 87918AAF2<br>LEI: 549300I2PVFBC9MFAC61 | Long             | DBT              | CORP              | US        |    155000 | PA      | $124294.50    | 0.03%             | 2027-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                | CONV. NOTE                            | CUSIP: 723787AP2<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     59000 | PA      | $138797.50    | 0.04%             | 2025-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LYFT INC                                                                    | CONV. NOTE                            | CUSIP: 55087PAB0<br>LEI: 549300H7I5VN334XVZ52 | Long             | DBT              | CORP              | US        |    107000 | PA      | $98012.00     | 0.03%             | 2025-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SPLUNK INC                                                                  | CONV. NOTE                            | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |    326000 | PA      | $280555.60    | 0.07%             | 2027-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PALO ALTO NETWORKS INC                                                      | CONV. NOTE                            | CUSIP: 697435AF2<br>LEI: 549300QXR2YVZV231H43 | Long             | DBT              | CORP              | US        |    112000 | PA      | $183568.00    | 0.05%             | 2025-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| OKTA INC                                                                    | CONV. NOTE                            | CUSIP: 679295AF2<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |    263000 | PA      | $223024.00    | 0.06%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                                                 | CONV. NOTE                            | CUSIP: 23804LAB9<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |    135000 | PA      | $147825.00    | 0.04%             | 2025-06-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC                                                                 | CONV. NOTE                            | CUSIP: 98980GAB8<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |     96000 | PA      | $104880.00    | 0.03%             | 2025-07-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                                                      | CONV. NOTE                            | CUSIP: 695127AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    209000 | PA      | $190973.75    | 0.05%             | 2025-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HAX9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     81000 | PA      | $92664.00     | 0.02%             | 2025-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                                                 | CONV. NOTE                            | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |    192000 | PA      | $148320.00    | 0.04%             | 2025-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MIDDLEBY CORP/THE                                                           | CONV. NOTE                            | CUSIP: 596278AB7<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | DBT              | CORP              | US        |     93000 | PA      | $121318.50    | 0.03%             | 2025-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                | CONV. NOTE                            | CUSIP: 45784PAK7<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |    152000 | PA      | $209836.00    | 0.05%             | 2026-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CONVERTIBLE BONDS                     | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204300.00    | 0.05%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLDINGS INC                                            | CONVERTIBLE BONDS                     | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |    212000 | PA      | $168964.00    | 0.04%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AJ1<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |    415000 | PA      | $383460.00    | 0.10%             | 2049-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                           | CONVERTIBLE BONDS                     | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    381000 | PA      | $249285.32    | 0.06%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BILL HOLDINGS INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 090043AD2<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |    196000 | PA      | $157192.00    | 0.04%             | 2027-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |    176000 | PA      | $131824.00    | 0.03%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 3D SYSTEMS CORP                                                             | CONVERTIBLE ZERO                      | CUSIP: 88554DAD8<br>LEI: 5493003HHDOCCW4OP744 | Long             | DBT              | CORP              | US        |     97000 | PA      | $71961.88     | 0.02%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS INC                                                   | CONVERTIBLE ZERO                      | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |    131000 | PA      | $100542.50    | 0.03%             | 2026-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITY SOFTWARE INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |    177000 | PA      | $136467.00    | 0.04%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    152000 | PA      | $126768.00    | 0.03%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 852234AJ2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     95000 | PA      | $79990.00     | 0.02%             | 2026-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLAREDGE TECHNOLOGIES INC                                                  | CONVERTIBLE ZERO                      | CUSIP: 83417MAD6<br>LEI: 5493000K6Y58XXPDF853 | Long             | DBT              | CORP              | IL        |    115000 | PA      | $154387.50    | 0.04%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    206000 | PA      | $181021.75    | 0.05%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VAIL RESORTS INC                                                            | CONVERTIBLE ZERO                      | CUSIP: 91879QAN9<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    272000 | PA      | $257380.00    | 0.07%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY PARTNERS LP                                                  | CONVERTIBLE ZERO                      | CUSIP: 65341BAD8<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |    234000 | PA      | $239382.00    | 0.06%             | 2025-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOX INC                                                                     | CONVERTIBLE ZERO                      | CUSIP: 10316TAB0<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |    138000 | PA      | $184989.00    | 0.05%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALARM.COM HOLDINGS INC                                                      | CONVERTIBLE ZERO                      | CUSIP: 011642AB1<br>LEI: 549300HIH92U1EKIHZ32 | Long             | DBT              | CORP              | US        |    139000 | PA      | $116495.90    | 0.03%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    217000 | PA      | $197470.00    | 0.05%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENPHASE ENERGY INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 29355AAK3<br>LEI: 5493008U7KIGMI59Z314 | Long             | DBT              | CORP              | US        |    204000 | PA      | $219358.35    | 0.06%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHAKE SHACK INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |    162000 | PA      | $120456.82    | 0.03%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                                  | CONVERTIBLE ZERO                      | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68680.00     | 0.02%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EVERBRIDGE INC                                                              | CONVERTIBLE ZERO                      | CUSIP: 29978AAE4<br>LEI: 549300WCY0UMR64ATW81 | Long             | DBT              | CORP              | US        |    153000 | PA      | $129193.20    | 0.03%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                                     | CONVERTIBLE ZERO                      | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |    182000 | PA      | $123760.00    | 0.03%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CONVERTIBLE ZERO                      | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    303000 | PA      | $307545.00    | 0.08%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEGG INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 163092AF6<br>LEI: 549300AKX7O8JG0O3G77 | Long             | DBT              | CORP              | US        |    172000 | PA      | $135123.20    | 0.03%             | 2026-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                       | CONVERTIBLE ZERO                      | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |    104000 | PA      | $155948.00    | 0.04%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                    | CONVERTIBLE ZERO                      | CUSIP: 83304AAF3<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    215000 | PA      | $158670.00    | 0.04%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    199000 | PA      | $174000.63    | 0.04%             | 2025-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CYBERARK SOFTWARE LTD                                                       | CONVERTIBLE ZERO                      | CUSIP: 23248VAB1<br>LEI: 529900YEXNDM894PWS93 | Long             | DBT              | CORP              | IL        |    115000 | PA      | $126431.00    | 0.03%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 82452JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    164000 | PA      | $175070.00    | 0.04%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    528795 | PA      | $454676.94    | 0.12%             | 2046-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                            | CORP CMO                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127962 | PA      | $162517.12    | 0.04%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-38                                              | CORP CMO                              | CUSIP: 12667GZ30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    438285 | PA      | $381728.05    | 0.10%             | 2035-09-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2744242 | PA      | $2216618.93   | 0.57%             | 2046-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    219928 | PA      | $193276.27    | 0.05%             | 2046-08-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-59                                              | CORP CMO                              | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1127762 | PA      | $1009467.24   | 0.26%             | 2035-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-OH1                                             | CORP CMO                              | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    435585 | PA      | $351716.42    | 0.09%             | 2047-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST              | CORP CMO                              | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    275112 | PA      | $257673.33    | 0.07%             | 2045-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                     | CORP CMO                              | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     90467 | PA      | $83597.19     | 0.02%             | 2035-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0EZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    727845 | PA      | $750097.39    | 0.19%             | 2027-10-25      | Floating      | 13.71%                | No            |                  2 | On Loan: No      |
| NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1                                | CORP CMO                              | CUSIP: 65246PAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    480000 | PA      | $470400.00    | 0.12%             | 2024-05-07      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    936000 | PA      | $845355.89    | 0.22%             | 2024-10-22      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1286000 | PA      | $1250635.00   | 0.32%             | 2024-10-22      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                          | CORP CMO                              | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    300000 | PA      | $252484.80    | 0.06%             | 2034-01-25      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    402000 | PA      | $390693.75    | 0.10%             | 2042-01-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                                           | CORP CMO                              | CUSIP: 12529LAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    595000 | PA      | $499800.00    | 0.13%             | 2030-12-26      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    623259 | PA      | $667525.72    | 0.17%             | 2050-07-25      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA4                                     | CORP CMO                              | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    864700 | PA      | $910878.23    | 0.23%             | 2050-09-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1027000 | PA      | $1125958.64   | 0.29%             | 2050-07-25      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0KV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    483462 | PA      | $530664.94    | 0.14%             | 2028-12-25      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    477807 | PA      | $471833.95    | 0.12%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA4                                     | CORP CMO                              | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    966000 | PA      | $1062600.00   | 0.27%             | 2050-08-25      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA5                                     | CORP CMO                              | CUSIP: 35566ABE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    491000 | PA      | $556799.40    | 0.14%             | 2050-10-25      | Floating      | 15.81%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                           | CORP CMO                              | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |    315000 | PA      | $357772.34    | 0.09%             | 2049-01-25      | Floating      | 15.26%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    252000 | PA      | $279383.50    | 0.07%             | 2049-03-25      | Floating      | 15.01%                | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    389000 | PA      | $399846.37    | 0.10%             | 2048-09-25      | Floating      | 12.26%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   1619000 | PA      | $1818499.01   | 0.47%             | 2048-10-25      | Floating      | 15.51%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    396484 | PA      | $417118.60    | 0.11%             | 2029-04-25      | Floating      | 13.76%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA1                                           | CORP CMO                              | CUSIP: 35563MBD7<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $430404.14    | 0.11%             | 2049-02-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                | CORP CMO                              | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    262235 | PA      | $262561.31    | 0.07%             | 2040-01-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                | CORP CMO                              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    459000 | PA      | $441989.32    | 0.11%             | 2040-01-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                           | CORP CMO                              | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |    298000 | PA      | $321522.87    | 0.08%             | 2049-04-25      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                             | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    454454 | PA      | $437954.88    | 0.11%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                            | CORP CMO                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    562546 | PA      | $408191.33    | 0.10%             | 2037-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2018-1 LTD                                                        | CORP CMO                              | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-CBDO         | CORP              | BM        |    593058 | PA      | $598729.10    | 0.15%             | 2028-03-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-DNA2                                           | CORP CMO                              | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-CBDO         | CORP              | US        |    599000 | PA      | $610980.00    | 0.16%             | 2030-12-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE II LTD                                                           | CORP CMO                              | CUSIP: 67400CAB4<br>LEI: 254900KOPN6EP9T3LD85 | Long             | ABS-CBDO         | CORP              | BM        |   1230000 | PA      | $1247248.54   | 0.32%             | 2028-07-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-2                                       | CORP CMO                              | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    408837 | PA      | $139955.55    | 0.04%             | 2035-05-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    322000 | PA      | $340203.56    | 0.09%             | 2031-01-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16495 | PA      | $16515.56     | 0.00%             | 2031-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                       | CORP CMO                              | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    452753 | PA      | $391771.34    | 0.10%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBD5<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    420000 | PA      | $433354.28    | 0.11%             | 2048-09-25      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R03                                | CORP CMO                              | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    578000 | PA      | $591361.74    | 0.15%             | 2031-09-25      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                           | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    685000 | PA      | $596477.93    | 0.15%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   1548000 | PA      | $1613291.54   | 0.41%             | 2048-10-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $190198.84    | 0.05%             | 2030-05-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    699000 | PA      | $739407.23    | 0.19%             | 2030-12-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     14344 | PA      | $14632.87     | 0.00%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0FZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1241031 | PA      | $1238313.25   | 0.32%             | 2027-12-25      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    370999 | PA      | $312496.59    | 0.08%             | 2046-06-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1284838 | PA      | $1334643.55   | 0.34%             | 2028-04-25      | Floating      | 13.86%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    826714 | PA      | $857177.47    | 0.22%             | 2028-05-25      | Floating      | 15.01%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   2796282 | PA      | $2960563.91   | 0.76%             | 2028-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    922828 | PA      | $851862.74    | 0.22%             | 2046-06-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    833891 | PA      | $925016.64    | 0.24%             | 2028-08-25      | Floating      | 16.26%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |     97184 | PA      | $102630.58    | 0.03%             | 2028-09-25      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2299432 | PA      | $2588331.27   | 0.66%             | 2028-09-25      | Floating      | 16.76%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1289914 | PA      | $1437618.77   | 0.37%             | 2028-10-25      | Floating      | 16.26%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    238596 | PA      | $272178.10    | 0.07%             | 2028-10-25      | Floating      | 17.26%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1                     | CORP CMO                              | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    588921 | PA      | $503873.50    | 0.13%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    266883 | PA      | $287737.01    | 0.07%             | 2029-01-25      | Floating      | 14.76%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    268925 | PA      | $293175.88    | 0.08%             | 2029-01-25      | Floating      | 15.26%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    412279 | PA      | $319516.13    | 0.08%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0MX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    570000 | PA      | $604455.42    | 0.16%             | 2029-07-25      | Floating      | 9.46%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    649447 | PA      | $347957.23    | 0.09%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    872000 | PA      | $950208.55    | 0.24%             | 2029-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2039000 | PA      | $2173659.03   | 0.56%             | 2029-10-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                             | CORP CMO                              | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170645 | PA      | $138532.68    | 0.04%             | 2035-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    427000 | PA      | $437147.57    | 0.11%             | 2030-01-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    376086 | PA      | $314619.60    | 0.08%             | 2046-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4          | CORP CMO                              | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-CBDO         | CORP              | US        |    541295 | PA      | $449320.45    | 0.12%             | 2047-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    110000 | PA      | $115637.50    | 0.03%             | 2030-02-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-AR5                                      | CORP CMO                              | CUSIP: 17311LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182825 | PA      | $155471.62    | 0.04%             | 2037-04-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2                                    | CORP CMO                              | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    663964 | PA      | $280198.32    | 0.07%             | 2037-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | CORP. NOTE                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306750.00    | 0.08%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                | CORP. NOTE                            | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1300000 | PA      | $1333410.00   | 0.34%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                           | CORP. NOTE                            | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30563.40     | 0.01%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                           | CORP. NOTE                            | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    105000 | PA      | $106963.50    | 0.03%             | 2031-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                   | CORP. NOTE                            | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25437.50     | 0.01%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 57763RAB3<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252187.50    | 0.06%             | 2026-08-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                         | CORP. NOTE                            | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    435000 | PA      | $413250.00    | 0.11%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORP. NOTE                            | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68532.16     | 0.02%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    190000 | PA      | $184434.90    | 0.05%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM CO                                                         | CORP. NOTE                            | CUSIP: 13123XBF8<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    525000 | PA      | $507937.50    | 0.13%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                | CORP. NOTE                            | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44129.39     | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202825.75    | 0.05%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     85000 | PA      | $86097.39     | 0.02%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                                 | CORP. NOTE                            | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45335.19     | 0.01%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49062.50     | 0.01%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP HOLDINGS INC                                           | CORP. NOTE                            | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    444000 | PA      | $389649.56    | 0.10%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CORP. NOTE                            | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |    765000 | PA      | $806975.55    | 0.21%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | CORP. NOTE                            | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     49000 | PA      | $38337.60     | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | CORP. NOTE                            | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |      9000 | PA      | $5617.98      | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                        | CORP. NOTE                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |   1509000 | PA      | $1466793.27   | 0.38%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTNERS HOLDINGS LLC                                    | CORP. NOTE                            | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |    624000 | PA      | $581761.57    | 0.15%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORP. NOTE                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78703.20     | 0.02%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE  AND  DOCK CORP                                          | CORP. NOTE                            | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |    505000 | PA      | $425588.75    | 0.11%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106848.60    | 0.03%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORP. NOTE                            | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    275000 | PA      | $244777.50    | 0.06%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    379000 | PA      | $314884.57    | 0.08%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORP. NOTE                            | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     39000 | PA      | $37097.56     | 0.01%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                      | CORP. NOTE                            | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $150062.50    | 0.04%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORP. NOTE                            | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40410.00     | 0.01%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET  AND  CO                                                  | CORP. NOTE                            | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82750.00     | 0.02%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |    130000 | PA      | $107305.59    | 0.03%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                       | CORP. NOTE                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    150000 | PA      | $133537.50    | 0.03%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION INC                                                   | CORP. NOTE                            | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |    210000 | PA      | $184513.27    | 0.05%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                    | CORP. NOTE                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    197000 | PA      | $178443.59    | 0.05%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORP. NOTE                            | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    693000 | PA      | $627386.76    | 0.16%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $56927.49     | 0.01%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    757000 | PA      | $704956.25    | 0.18%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                        | CORP. NOTE                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    603000 | PA      | $526117.50    | 0.14%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                                                                | CORP. NOTE                            | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |    455000 | PA      | $433956.25    | 0.11%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    505000 | PA      | $474520.73    | 0.12%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56175.00     | 0.01%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA INC                                            | CORP. NOTE                            | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |    270000 | PA      | $243288.90    | 0.06%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAC5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    283000 | PA      | $281585.00    | 0.07%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    140000 | PA      | $129892.00    | 0.03%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROCKCLIFF ENERGY II LLC                                                     | CORP. NOTE                            | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    882000 | PA      | $838993.81    | 0.22%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                                                         | CORP. NOTE                            | CUSIP: 50221DAA7<br>LEI: 254900FPK7P5WNA66Y10 | Long             | DBT              | CORP              | US        |    260000 | PA      | $213354.76    | 0.05%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                           | CORP. NOTE                            | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    753000 | PA      | $652956.40    | 0.17%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    190000 | PA      | $171237.50    | 0.04%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                              | CORP. NOTE                            | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    505000 | PA      | $465703.43    | 0.12%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $68950.00     | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     62000 | PA      | $50727.33     | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1046358.50   | 0.27%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                             | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |   1640000 | PA      | $1346850.00   | 0.35%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                        | CORP. NOTE                            | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    526000 | PA      | $38792.50     | 0.01%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24234.25     | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                | CORP. NOTE                            | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $153937.50    | 0.04%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    425000 | PA      | $371084.50    | 0.10%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                                  | CORP. NOTE                            | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129000.00    | 0.03%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                            | CORP. NOTE                            | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    421000 | PA      | $353640.00    | 0.09%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                      | CORP. NOTE                            | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    550000 | PA      | $369875.00    | 0.09%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAH8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    160671 | PA      | $163434.92    | 0.04%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                        | CORP. NOTE                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |    109000 | PA      | $106547.50    | 0.03%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                       | CORP. NOTE                            | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    136000 | PA      | $118430.50    | 0.03%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |    542000 | PA      | $465079.03    | 0.12%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                    | CORP. NOTE                            | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |    190000 | PA      | $162488.00    | 0.04%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    175000 | PA      | $157878.00    | 0.04%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LABORATOIRE EIMER SELAS                                                     | CORP. NOTE                            | CUSIP: F5540NAA7<br>LEI: 969500DCZL54LLTFEM37 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $208572.92    | 0.05%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP                             | CORP. NOTE                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    478000 | PA      | $412275.00    | 0.11%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KLEOPATRA HOLDINGS 2 SCA                                                    | CORP. NOTE                            | CUSIP: L5841GAA1<br>LEI: 222100ALG258IKQWWE73 | Long             | DBT              | CORP              | LU        |    260000 | PA      | $158523.69    | 0.04%             | 2026-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                        | CORP. NOTE                            | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |    232000 | PA      | $203000.00    | 0.05%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179432.00    | 0.05%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA-PACIFIC CORP                                                      | CORP. NOTE                            | CUSIP: 546347AM7<br>LEI: 549300C7E2UAO5BVRR75 | Long             | DBT              | CORP              | US        |    345000 | PA      | $298657.60    | 0.08%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                  | CORP. NOTE                            | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    185000 | PA      | $158175.00    | 0.04%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OWENS  AND  MINOR INC                                                       | CORP. NOTE                            | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |    130000 | PA      | $105896.70    | 0.03%             | 2029-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                  | CORP. NOTE                            | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    695000 | PA      | $590093.23    | 0.15%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106650.00    | 0.03%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    125000 | PA      | $110156.25    | 0.03%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51287.76     | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    195000 | PA      | $175188.00    | 0.04%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |    700000 | PA      | $628250.00    | 0.16%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                           | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    818000 | PA      | $711660.00    | 0.18%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES            | CORP. NOTE                            | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    279000 | PA      | $238255.66    | 0.06%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORGANON  AND  CO / ORGANON FOREIGN DEBT CO-ISSUER BV                        | CORP. NOTE                            | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $244201.50    | 0.06%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORP. NOTE                            | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178956.00    | 0.05%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    265000 | PA      | $239110.89    | 0.06%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | CORP. NOTE                            | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94933.49     | 0.02%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | CORP. NOTE                            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91211.02     | 0.02%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                         | CORP. NOTE                            | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $182468.00    | 0.05%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                  | CORP. NOTE                            | CUSIP: 380355AF4<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $133863.93    | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                | CORP. NOTE                            | CUSIP: 475795AE0<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     68000 | PA      | $65147.27     | 0.02%             | 2025-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    185000 | PA      | $178925.99    | 0.05%             | 2028-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119570.10    | 0.03%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                           | CORP. NOTE                            | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |    158000 | PA      | $158959.06    | 0.04%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | CORP. NOTE                            | CUSIP: 651229BB1<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    143000 | PA      | $139818.25    | 0.04%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    298000 | PA      | $302768.00    | 0.08%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    245000 | PA      | $251045.70    | 0.06%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                    | CORP. NOTE                            | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     88000 | PA      | $86529.52     | 0.02%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORP. NOTE                            | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     29000 | PA      | $31039.57     | 0.01%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196573.92    | 0.05%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                  | CORP. NOTE                            | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    124000 | PA      | $125849.63    | 0.03%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC / CRC FINCO INC                               | CORP. NOTE                            | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $625106.25    | 0.16%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1191412.40   | 0.31%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORP. NOTE                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123860.89    | 0.03%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE CO                                                            | CORP. NOTE                            | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    680000 | PA      | $611525.29    | 0.16%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                               | CORP. NOTE                            | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104591.00    | 0.03%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                               | CORP. NOTE                            | CUSIP: P2121VAG9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |    465000 | PA      | $525285.87    | 0.13%             | 2026-02-01      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORP. NOTE                            | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    203000 | PA      | $177363.13    | 0.05%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC                    | CORP. NOTE                            | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $110918.84    | 0.03%             | 2027-08-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                  | CORP. NOTE                            | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $34648.15     | 0.01%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORP. NOTE                            | CUSIP: 674599EB7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     53000 | PA      | $53646.34     | 0.01%             | 2025-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $508875.00    | 0.13%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCJ8<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    425000 | PA      | $427847.50    | 0.11%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BIG RIVER STEEL LLC / BRS FINANCE CORP                                      | CORP. NOTE                            | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $196157.88    | 0.05%             | 2029-01-31      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                       | CORP. NOTE                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    324000 | PA      | $315676.80    | 0.08%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                             | CORP. NOTE                            | CUSIP: 70932MAA5<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    240000 | PA      | $223200.00    | 0.06%             | 2025-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                        | CORP. NOTE                            | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1217523.00   | 0.31%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER              | CORP. NOTE                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $54987.30     | 0.01%             | 2027-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                       | CORP. NOTE                            | CUSIP: 82453AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    221000 | PA      | $209295.84    | 0.05%             | 2026-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                        | CORP. NOTE                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    225000 | PA      | $205031.25    | 0.05%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159080.00    | 0.04%             | 2024-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA/FRANCE                                                     | CORP. NOTE                            | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $166104.00    | 0.04%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                   | CORP. NOTE                            | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85794.30     | 0.02%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                                   | CORP. NOTE                            | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    368000 | PA      | $317400.00    | 0.08%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                                    | CORP. NOTE                            | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77435.20     | 0.02%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1050473.42   | 0.27%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                  | CORP. NOTE                            | CUSIP: 380355AD9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $71788.50     | 0.02%             | 2024-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                    | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |    638000 | PA      | $596049.11    | 0.15%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORP. NOTE                            | CUSIP: N/A<br>LEI: 54930064UHXCIUWVI755       | Long             | DBT              | CORP              | US        |    370000 | PA      | $348059.11    | 0.09%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BD3<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    380000 | PA      | $379050.00    | 0.10%             | 2027-12-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                            | CORP. NOTE                            | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    130000 | PA      | $123586.78    | 0.03%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    236000 | PA      | $222248.66    | 0.06%             | 2028-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                       | CORP. NOTE                            | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $51210.22     | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | CORP. NOTE                            | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $243187.50    | 0.06%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORP. NOTE                            | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    380000 | PA      | $350648.88    | 0.09%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    773000 | PA      | $765362.76    | 0.20%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    260000 | PA      | $242992.67    | 0.06%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $220312.50    | 0.06%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                        | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |    433000 | PA      | $403231.25    | 0.10%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                         | CORP. NOTE                            | CUSIP: T1188BJD9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    230000 | PA      | $229243.37    | 0.06%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                         | CORP. NOTE                            | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225062.50    | 0.06%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AG ISSUER LLC                                                               | CORP. NOTE                            | CUSIP: 00119LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $222075.00    | 0.06%             | 2028-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORP. NOTE                            | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     76000 | PA      | $69368.83     | 0.02%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                            | CORP. NOTE                            | CUSIP: 172441BC0<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50922.65     | 0.01%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                              | CORP. NOTE                            | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    438000 | PA      | $449368.29    | 0.12%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                    | CORP. NOTE                            | CUSIP: 588056AW1<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |    164000 | PA      | $158673.28    | 0.04%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                           | CORP. NOTE                            | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    315000 | PA      | $292950.00    | 0.08%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | CORP. NOTE                            | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    280000 | PA      | $296146.62    | 0.08%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                       | CORP. NOTE                            | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    295000 | PA      | $280495.75    | 0.07%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                              | CORP. NOTE                            | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    435000 | PA      | $437488.20    | 0.11%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PONTUS LTD                                                       | CORP. NOTE                            | CUSIP: 89382PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     72800 | PA      | $74984.00     | 0.02%             | 2025-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORP. NOTE                            | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    137000 | PA      | $133142.99    | 0.03%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORP. NOTE                            | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    369000 | PA      | $359384.88    | 0.09%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | CORP. NOTE                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    540000 | PA      | $543180.61    | 0.14%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                    | CORP. NOTE                            | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    585000 | PA      | $571077.00    | 0.15%             | 2028-08-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                                     | CORP. NOTE                            | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    166250 | PA      | $165859.31    | 0.04%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    390000 | PA      | $389862.62    | 0.10%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    430000 | PA      | $404245.93    | 0.10%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                             | CORP. NOTE                            | CUSIP: 15138AAC4<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    877000 | PA      | $859363.53    | 0.22%             | 2027-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                   | CORP. NOTE                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    895000 | PA      | $925205.80    | 0.24%             | 2026-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                 | CORP. NOTE                            | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    785000 | PA      | $697511.75    | 0.18%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORP. NOTE                            | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    385000 | PA      | $372807.00    | 0.10%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 032177AH0<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    260000 | PA      | $255509.80    | 0.07%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                     | CORP. NOTE                            | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    225000 | PA      | $219432.51    | 0.06%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORP. NOTE                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    165000 | PA      | $155278.20    | 0.04%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORP. NOTE                            | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    719000 | PA      | $729418.31    | 0.19%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $93602.00     | 0.02%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCZ1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    282000 | PA      | $274659.54    | 0.07%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    300000 | PA      | $288750.00    | 0.07%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                               | CORP. NOTE                            | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    122000 | PA      | $113926.33    | 0.03%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | CORP. NOTE                            | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    270000 | PA      | $265293.90    | 0.07%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORP. NOTE                            | CUSIP: 629377CC4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18913.29     | 0.00%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39972.00     | 0.01%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LA FINANCIERE ATALIAN SASU                                                  | CORP. NOTE                            | CUSIP: F5474SAE8<br>LEI: 969500ICOLJMB33J0L87 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $190483.96    | 0.05%             | 2024-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    272000 | PA      | $268260.00    | 0.07%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC              | CORP. NOTE                            | CUSIP: 48250NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $227950.00    | 0.06%             | 2027-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $52937.50     | 0.01%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $299055.00    | 0.08%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                       | CORP. NOTE                            | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116103.60    | 0.03%             | 2024-11-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                                                     | CORP. NOTE                            | CUSIP: 740212AL9<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |    510000 | PA      | $504737.18    | 0.13%             | 2026-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                                        | CORP. NOTE                            | CUSIP: 69369EAE9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    400000 | PA      | $398000.00    | 0.10%             | 2023-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | CORP. NOTE                            | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    579000 | PA      | $587611.47    | 0.15%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $268990.13    | 0.07%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     43000 | PA      | $43134.33     | 0.01%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                            | CORPORATE BONDS                       | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    153000 | PA      | $144536.04    | 0.04%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                        | CORPORATE BONDS                       | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71116.50     | 0.02%             | 2027-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94643.75     | 0.02%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                 | CORPORATE BONDS                       | CUSIP: 292505AE4<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    155000 | PA      | $163382.23    | 0.04%             | 2037-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                  | CORPORATE BONDS                       | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    118000 | PA      | $129263.10    | 0.03%             | 2037-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                          | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1216000 | PA      | $1339237.32   | 0.34%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                          | CORPORATE BONDS                       | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     96000 | PA      | $104995.49    | 0.03%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    893000 | PA      | $779812.25    | 0.20%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                           | CORPORATE BONDS                       | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1010221.19   | 0.26%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORPORATE BONDS                       | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    670000 | PA      | $650906.14    | 0.17%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORPORATE BONDS                       | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    122000 | PA      | $93330.00     | 0.02%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CORPORATE BONDS                       | CUSIP: 345370CA6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    220000 | PA      | $235984.32    | 0.06%             | 2031-07-16      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| CROWN CORK  AND  SEAL CO INC                                                | CORPORATE BONDS                       | CUSIP: 228255AH8<br>LEI: 7HLDMDH0ZXNUH6PT7Z42 | Long             | DBT              | CORP              | US        |    347000 | PA      | $362471.00    | 0.09%             | 2026-12-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                 | CORPORATE BONDS                       | CUSIP: 012873AK1<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    430000 | PA      | $478843.68    | 0.12%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PULTEGROUP INC                                                              | CORPORATE BONDS                       | CUSIP: 745867AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $178168.64    | 0.05%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| DRESDNER FUNDING TRUST I                                                    | CORPORATE BONDS                       | CUSIP: 26156FAA1<br>LEI: 549300ZEO4BKB37E3J03 | Long             | DBT              | CORP              | US        |    200000 | PA      | $216000.00    | 0.06%             | 2031-06-30      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    165000 | PA      | $137777.61    | 0.04%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORPORATE BONDS                       | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    165000 | PA      | $141940.85    | 0.04%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    255000 | PA      | $215220.00    | 0.06%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    537000 | PA      | $442692.06    | 0.11%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    395000 | PA      | $307468.99    | 0.08%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12522.45     | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORPORATE BONDS                       | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $229425.00    | 0.06%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORPORATE BONDS                       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    397000 | PA      | $349963.44    | 0.09%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3655000 | PA      | $3033889.18   | 0.78%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORPORATE BONDS                       | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18830.00     | 0.00%             | 2032-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                        | CORPORATE BONDS                       | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    350000 | PA      | $295970.50    | 0.08%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    212000 | PA      | $208153.45    | 0.05%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    175000 | PA      | $149610.07    | 0.04%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS  AND  CO                                                       | CORPORATE BONDS                       | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |    127000 | PA      | $106045.00    | 0.03%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                  | CORPORATE BONDS                       | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    140000 | PA      | $115567.57    | 0.03%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    473000 | PA      | $455011.86    | 0.12%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORPORATE BONDS                       | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124859.80    | 0.03%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     95000 | PA      | $79832.30     | 0.02%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     95000 | PA      | $75450.69     | 0.02%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     60000 | PA      | $63698.85     | 0.02%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    125000 | PA      | $106553.49    | 0.03%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORPORATE BONDS                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    300000 | PA      | $265875.00    | 0.07%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORPORATE BONDS                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117261.60    | 0.03%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | CORPORATE BONDS                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    120000 | PA      | $102600.00    | 0.03%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    125000 | PA      | $116906.25    | 0.03%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | CORPORATE BONDS                       | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    125000 | PA      | $110145.10    | 0.03%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                        | CORPORATE BONDS                       | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $240975.00    | 0.06%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1857000 | PA      | $1952876.91   | 0.50%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    248000 | PA      | $250594.00    | 0.06%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                        | CORPORATE BONDS                       | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    448000 | PA      | $392268.80    | 0.10%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | CORPORATE BONDS                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    349000 | PA      | $331570.94    | 0.09%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                       | CORPORATE BONDS                       | CUSIP: 032177AJ6<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58243.90     | 0.01%             | 2030-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    175000 | PA      | $158375.00    | 0.04%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORPORATE BONDS                       | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $68987.71     | 0.02%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     55000 | PA      | $47300.00     | 0.01%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | CORPORATE BONDS                       | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $112040.99    | 0.03%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76709.20     | 0.02%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                              | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1133000 | PA      | $1110340.00   | 0.29%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                | CORPORATE BONDS                       | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |    142000 | PA      | $116026.78    | 0.03%             | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23428.75     | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    544000 | PA      | $564361.28    | 0.14%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    249000 | PA      | $236916.78    | 0.06%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411BE4<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     83000 | PA      | $76749.92     | 0.02%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    135000 | PA      | $136921.05    | 0.04%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: U74079AP6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106087.39    | 0.03%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    116000 | PA      | $104690.00    | 0.03%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    350000 | PA      | $335161.45    | 0.09%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                | CORPORATE BONDS                       | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1643000 | PA      | $1519775.00   | 0.39%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    115000 | PA      | $106310.66    | 0.03%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | CORPORATE BONDS                       | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    155000 | PA      | $147331.22    | 0.04%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                            | CORPORATE BONDS                       | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    422000 | PA      | $397828.26    | 0.10%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    340000 | PA      | $333200.00    | 0.09%             | 2025-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | CORPORATE BONDS                       | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    235000 | PA      | $223259.40    | 0.06%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORPORATE BONDS                       | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     62000 | PA      | $59965.09     | 0.02%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    263000 | PA      | $258885.37    | 0.07%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORPORATE BONDS                       | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     67000 | PA      | $61321.08     | 0.02%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                            | CORPORATE BONDS                       | CUSIP: G9372GAT5<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    255000 | PA      | $288189.06    | 0.07%             | 2027-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    868000 | PA      | $822549.06    | 0.21%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                          | CORPORATE STEP UP                     | CUSIP: N22634XZ2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    252125 | PA      | $273755.15    | 0.07%             | 2044-01-24      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $28128.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $22236.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $4564728.73   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $397528.02    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $143810.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $25606.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3326331.40   | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $164163.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $63111.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2532825.23   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $21803.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $324354.59    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1433913.52   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $26396.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $137247.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $15115.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $72722.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $10519.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3385591.81   | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $982061.64    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1819624.27   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $59227.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $59227.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $373546.40    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3506016.91   | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $118702.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2456639.67   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $20955.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $67255.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $221186.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $23040.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $174228.21    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11629.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $25164.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $719656.56    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $51011.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $14102.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $488159.14    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $30084.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $369198.04    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $32787.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $12555.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1643028.06   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $209517.64    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1233.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2961.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $71940.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1469163.93   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $329099.63    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $350002.18    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $2949675.84   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4251.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4154463.81   | 1.07%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $370165.27    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                               | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |  12838320 | NC      | $507087.96    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ TRUST  AND  BANKING CORP/NY                                  | DISC. CP                              | CUSIP: N/A<br>LEI: JBONEPAGQXF4QP29B387       | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1998516.34   | 0.51%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD/SINGAPORE                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 5493006GGLR4BTEL8O61       | Long             | STIV             | CORP              | SG        |   2000000 | PA      | $1999521.88   | 0.51%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NRW BANK                                                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 52990002O5KK6XOGJ020       | Long             | STIV             | CORP              | DE        |   2000000 | PA      | $1994836.34   | 0.51%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                          | DISC. CP                              | CUSIP: N/A<br>LEI: 5493006QMFDDMYWIAM13       | Long             | STIV             | CORP              | ES        |   2000000 | PA      | $1969042.66   | 0.51%             | 2023-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO FUNDING USA LLC                                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 549300WEQ09INLYV6558       | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1996727.62   | 0.51%             | 2023-02-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL CANADA LTD                                            | DISC. CP                              | CUSIP: 89153QPD6<br>LEI: 5299005IX98ZZ9LSGK46 | Long             | STIV             | CORP              | CA        |   2000000 | PA      | $1996733.38   | 0.51%             | 2023-02-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ING US FUNDING LLC                                                          | DISC. CP                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1941590.66   | 0.50%             | 2023-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NEW YORK NY                                                 | DISC. CP                              | CUSIP: N/A<br>LEI: RB0PEZSDGCO3JS6CEU02       | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1998516.34   | 0.51%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ALYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424855 | PA      | $62013.05     | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ANL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564791 | PA      | $64635.24     | 0.02%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AUD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602224 | PA      | $44906.67     | 0.01%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS                                                          | FHLMC CMO IO                          | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399100 | PA      | $15183.95     | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2809918 | PA      | $215537.55    | 0.06%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FHLMC CMO IO                          | CUSIP: 3137B1VT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168026 | PA      | $1734.03      | 0.00%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B1HN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1247160 | PA      | $184261.63    | 0.05%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BH6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836564 | PA      | $371996.02    | 0.10%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1389232 | PA      | $211802.26    | 0.05%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BMNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283122 | PA      | $229591.90    | 0.06%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BRPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1787419 | PA      | $226019.18    | 0.06%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BPMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1115408 | PA      | $139267.56    | 0.04%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ASB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    995338 | PA      | $186924.40    | 0.05%             | 2042-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ABAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804400 | PA      | $23464.34     | 0.01%             | 2040-04-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BXH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056841 | PA      | $133944.79    | 0.03%             | 2047-04-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FCB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1499303 | PA      | $171070.45    | 0.04%             | 2047-12-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FCPP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257954 | PA      | $30952.50     | 0.01%             | 2047-11-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5110029 | PA      | $635738.66    | 0.16%             | 2056-08-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FVT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8802621 | PA      | $1042934.58   | 0.27%             | 2050-09-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTQF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5523554 | PA      | $1154429.99   | 0.30%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5470831 | PA      | $561845.63    | 0.14%             | 2050-01-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4425293 | PA      | $903611.24    | 0.23%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYMM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5965569 | PA      | $1032795.68   | 0.27%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7917232 | PA      | $1611670.52   | 0.41%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H1X68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8934244 | PA      | $1609396.84   | 0.41%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8335681 | PA      | $1050715.13   | 0.27%             | 2050-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394JDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1490063 | PA      | $14900.63     | 0.00%             | 2043-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10973 | PA      | $11036.15     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29331 | PA      | $29821.51     | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18879 | PA      | $18904.55     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44340 | PA      | $44575.59     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47659 | PA      | $47947.89     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697450 | PA      | $88924.84     | 0.02%             | 2043-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508455 | PA      | $59438.34     | 0.02%             | 2042-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AAY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442002 | PA      | $15784.32     | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949976 | PA      | $124351.84    | 0.03%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A9C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329755 | PA      | $63271.59     | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483426 | PA      | $30861.63     | 0.01%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021208 | PA      | $354780.13    | 0.09%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398T4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873202 | PA      | $344824.57    | 0.09%             | 2040-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AGXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2373739 | PA      | $276148.33    | 0.07%             | 2043-02-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AT6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3112369 | PA      | $255799.39    | 0.07%             | 2046-12-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3055840 | PA      | $492387.52    | 0.13%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10044552 | PA      | $858517.89    | 0.22%             | 2039-05-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3021918 | PA      | $529018.84    | 0.14%             | 2043-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3372767 | PA      | $340986.75    | 0.09%             | 2048-03-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AWLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7190593 | PA      | $690153.10    | 0.18%             | 2047-05-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B5A54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3157421 | PA      | $262762.67    | 0.07%             | 2049-08-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B8H51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4866328 | PA      | $537583.28    | 0.14%             | 2050-03-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B66Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6150965 | PA      | $701825.15    | 0.18%             | 2049-11-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BCLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8228790 | PA      | $1492327.28   | 0.38%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B1S47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5884074 | PA      | $684965.06    | 0.18%             | 2048-06-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BGL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16048481 | PA      | $2037524.45   | 0.52%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ACWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112189 | PA      | $733.15       | 0.00%             | 2041-10-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A1D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460188 | PA      | $134733.48    | 0.03%             | 2041-10-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FCZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86877 | PA      | $14288.59     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2000-T6                                            | FNMA CMO IO                           | CUSIP: 31358SR52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    902563 | PA      | $5415.38      | 0.00%             | 2040-11-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FEMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265352 | PA      | $40861.29     | 0.01%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691055 | PA      | $80437.50     | 0.02%             | 2040-04-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4376169.50   | 1.12%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63000000 | PA      | $62227267.20  | 15.98%            | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3861250.00   | 0.99%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3366626.80   | 0.86%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $10941537.10  | 2.81%             | 2053-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $11799525.40  | 3.03%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7508124.80   | 1.93%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $19521016.10  | 5.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $19521016.10  | 5.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 174000000 | PA      | $174693285.60 | 44.85%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | 100000000 | PA      | $100398440.00 | 25.77%            | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69000000 | PA      | $70099722.00  | 18.00%            | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  44000000 | PA      | $44701272.00  | 11.48%            | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  68000000 | PA      | $68231091.20  | 17.52%            | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29000000 | PA      | $29438413.30  | 7.56%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060634<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $19483907.20  | 5.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $12253274.60  | 3.15%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43194 | PA      | $44479.12     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71266 | PA      | $67710.09     | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68852 | PA      | $70256.39     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63212 | PA      | $64264.21     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89744 | PA      | $90900.86     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127579 | PA      | $121293.02    | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617JSVJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55730 | PA      | $52984.25     | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23138 | PA      | $21968.81     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LSDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112568 | PA      | $112177.92    | 0.03%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118821 | PA      | $112818.26    | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52040 | PA      | $49410.64     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30801 | PA      | $29244.56     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LKWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5710 | PA      | $5591.77      | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LKTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10797 | PA      | $10574.07     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617KQAS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6310 | PA      | $6190.07      | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LKWK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7190 | PA      | $7042.05      | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617M1A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51102 | PA      | $49935.23     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27495 | PA      | $27520.49     | 0.01%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617M6FK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18202 | PA      | $17826.08     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53289 | PA      | $53876.17     | 0.01%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LNR89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198312 | PA      | $188417.36    | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LNR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202597 | PA      | $192488.55    | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51356 | PA      | $49066.29     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65516 | PA      | $62247.11     | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32172 | PA      | $33129.47     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382JB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6488602 | PA      | $876564.75    | 0.23%             | 2050-09-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4779977 | PA      | $530919.40    | 0.14%             | 2050-05-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6149176 | PA      | $753245.83    | 0.19%             | 2050-04-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5698696 | PA      | $1035560.21   | 0.27%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5377073 | PA      | $551418.82    | 0.14%             | 2043-08-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8326520 | PA      | $1187861.41   | 0.30%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5137517 | PA      | $571298.51    | 0.15%             | 2051-04-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7292370 | PA      | $931017.63    | 0.24%             | 2051-05-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381W6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5734963 | PA      | $531253.13    | 0.14%             | 2049-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11693709 | PA      | $1527432.22   | 0.39%             | 2051-06-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LMH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6513034 | PA      | $997860.68    | 0.26%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382WSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7674866 | PA      | $1158393.09   | 0.30%             | 2047-11-20      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AQC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9681884 | PA      | $1624439.75   | 0.42%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7559438 | PA      | $221929.99    | 0.06%             | 2067-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5121111 | PA      | $267961.61    | 0.07%             | 2067-05-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000340 | PA      | $135711.54    | 0.03%             | 2067-01-20      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380FAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056694 | PA      | $41229.08     | 0.01%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2046032 | PA      | $385771.29    | 0.10%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11820405 | PA      | $359230.98    | 0.09%             | 2067-07-20      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12916819 | PA      | $716835.41    | 0.18%             | 2067-08-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4792731 | PA      | $182962.50    | 0.05%             | 2067-05-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4308579 | PA      | $172709.76    | 0.04%             | 2067-08-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2652319 | PA      | $151182.21    | 0.04%             | 2067-04-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380CH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2765504 | PA      | $547525.30    | 0.14%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380GPZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71015 | PA      | $2230.57      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6100259 | PA      | $220884.26    | 0.06%             | 2066-10-20      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6212782 | PA      | $284545.44    | 0.07%             | 2068-02-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6121816 | PA      | $325221.45    | 0.08%             | 2068-02-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    982192 | PA      | $113857.67    | 0.03%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3484304 | PA      | $733027.95    | 0.19%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5138702 | PA      | $244860.07    | 0.06%             | 2068-08-20      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8731888 | PA      | $447509.25    | 0.11%             | 2068-01-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376LEQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4332195 | PA      | $409500.77    | 0.11%             | 2040-07-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3737189 | PA      | $207297.23    | 0.05%             | 2068-02-20      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470571 | PA      | $272279.02    | 0.07%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4316590 | PA      | $422205.69    | 0.11%             | 2049-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4838413 | PA      | $502952.99    | 0.13%             | 2049-08-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3918396 | PA      | $433172.80    | 0.11%             | 2044-04-20      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4799870 | PA      | $518195.42    | 0.13%             | 2049-09-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381BE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3628013 | PA      | $361051.68    | 0.09%             | 2049-01-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382DGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3590440 | PA      | $375476.58    | 0.10%             | 2050-01-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BH89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3007744 | PA      | $293960.47    | 0.08%             | 2049-12-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382GXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3947358 | PA      | $556429.95    | 0.14%             | 2050-07-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    963853 | PA      | $168337.63    | 0.04%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582766 | PA      | $113639.41    | 0.03%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    828012 | PA      | $170757.28    | 0.04%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375CMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475955 | PA      | $81087.99     | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343454 | PA      | $42636.35     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FVC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1991706 | PA      | $206719.13    | 0.05%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122909 | PA      | $210983.40    | 0.05%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2667249 | PA      | $546786.12    | 0.14%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MRH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529581 | PA      | $57777.26     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376VHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600107 | PA      | $121318.03    | 0.03%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364159 | PA      | $279816.21    | 0.07%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YRM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501598 | PA      | $77759.11     | 0.02%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WK46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1101916 | PA      | $183177.56    | 0.05%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2174994 | PA      | $362317.11    | 0.09%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378P3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518462 | PA      | $86346.45     | 0.02%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378HK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2122515 | PA      | $334196.40    | 0.09%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378HVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936079 | PA      | $153576.80    | 0.04%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379GSU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4313561 | PA      | $640315.31    | 0.16%             | 2044-07-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1967303 | PA      | $360606.72    | 0.09%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491782 | PA      | $96621.85     | 0.02%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4100219 | PA      | $127926.83    | 0.03%             | 2063-02-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3846789 | PA      | $153102.21    | 0.04%             | 2065-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UVA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4065544 | PA      | $167093.86    | 0.04%             | 2065-03-20      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1110516 | PA      | $79957.15     | 0.02%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3349286 | PA      | $126603.03    | 0.03%             | 2065-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6040536 | PA      | $322564.61    | 0.08%             | 2065-08-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5305665 | PA      | $226021.32    | 0.06%             | 2065-08-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5747494 | PA      | $221278.53    | 0.06%             | 2065-09-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4262884 | PA      | $196945.26    | 0.05%             | 2065-10-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4828962 | PA      | $141618.97    | 0.04%             | 2065-09-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TKW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2240559 | PA      | $363306.62    | 0.09%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6449122 | PA      | $203792.25    | 0.05%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814328 | PA      | $162305.51    | 0.04%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5639241 | PA      | $259505.16    | 0.07%             | 2065-12-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4660810 | PA      | $162243.63    | 0.04%             | 2066-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7734410 | PA      | $164843.48    | 0.04%             | 2065-07-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379DLW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1229868 | PA      | $76692.00     | 0.02%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7087778 | PA      | $345174.79    | 0.09%             | 2066-04-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7074285 | PA      | $129544.30    | 0.03%             | 2066-02-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11137992 | PA      | $223127.40    | 0.06%             | 2066-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379PE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1301660 | PA      | $153960.39    | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4530313 | PA      | $212924.72    | 0.05%             | 2066-06-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2680932 | PA      | $111311.80    | 0.03%             | 2066-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6293052 | PA      | $218368.89    | 0.06%             | 2064-10-20      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4360561 | PA      | $150770.75    | 0.04%             | 2066-06-20      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1719676 | PA      | $149227.39    | 0.04%             | 2044-08-20      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WR56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765338 | PA      | $323904.19    | 0.08%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16181945 | PA      | $656986.97    | 0.17%             | 2066-10-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4207237 | PA      | $179228.28    | 0.05%             | 2066-10-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4050485 | PA      | $201608.86    | 0.05%             | 2066-06-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379T3W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940523 | PA      | $159402.25    | 0.04%             | 2046-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999073 | PA      | $195096.76    | 0.05%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844611 | PA      | $161895.07    | 0.04%             | 2047-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7622169 | PA      | $266013.71    | 0.07%             | 2067-03-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5846295 | PA      | $205204.96    | 0.05%             | 2067-02-20      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $11915360.40  | 3.06%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   1000000 | PA      | $946318.50    | 0.24%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $8268160.50   | 2.12%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7774306.40   | 2.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BENIN                                                           | GOVERNMENT BOND                       | CUSIP: V15389AF2<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    470000 | PA      | $372076.44    | 0.10%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WDP7<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    810000 | PA      | $596347.11    | 0.15%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   2670000 | PA      | $2671863.66   | 0.69%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | GOVERNMENT BOND                       | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2780000 | PA      | $2279232.21   | 0.59%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |   2060000 | PA      | $1752118.42   | 0.45%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    715000 | PA      | $735716.20    | 0.19%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    690000 | PA      | $586802.64    | 0.15%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT OF MONGOLIA                                                      | GOVERNMENT BOND                       | CUSIP: Y6142NAC2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |    670000 | PA      | $628125.00    | 0.16%             | 2026-04-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PCV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |   1650000 | PA      | $1643929.52   | 0.42%             | 2025-01-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BX3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1265000 | PA      | $1257903.35   | 0.32%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AW5<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   2765000 | PA      | $2457393.75   | 0.63%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                         | GOVERNMENT BOND                       | CUSIP: V7691DAX4<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    705000 | PA      | $610706.25    | 0.16%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AM6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1310000 | PA      | $484700.00    | 0.12%             | 2029-05-16      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |   1350000 | PA      | $1323380.51   | 0.34%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WCY9<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   2480000 | PA      | $2049090.08   | 0.53%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |    760000 | PA      | $694317.68    | 0.18%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PED6<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    230000 | PA      | $199493.38    | 0.05%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AU8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1300000 | PA      | $492375.00    | 0.13%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780AX4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    640000 | PA      | $737670.40    | 0.19%             | 2037-02-17      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BL9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1355000 | PA      | $1350555.60   | 0.35%             | 2023-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AC9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    300000 | PA      | $291375.00    | 0.07%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V3R60FAZ7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   3040000 | PA      | $1216000.00   | 0.31%             | 2026-01-18      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| SOCIALIST REPUBLIC OF VIETNAM                                               | GOVERNMENT BOND                       | CUSIP: Y9384RAA8<br>LEI: 5493008AE7RS4XK4BZ08 | Long             | DBT              | NUSS              | VN        |   1720000 | PA      | $1694200.00   | 0.43%             | 2024-11-19      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: Y20721BG3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    760000 | PA      | $754512.80    | 0.19%             | 2025-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                                           | GOVERNMENT BOND                       | CUSIP: V06423AM5<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   3710000 | PA      | $2430987.15   | 0.62%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        31 | NC      | $3757296.88   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       816 | NC      | $167809125.41 | 43.08%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8908000 | NC      | $4212.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 161720000 | NC      | $2820396.80   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 148069000 | NC      | $53304.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 166624000 | NC      | $2725968.64   | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  87743000 | NC      | $971315.01    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9247000 | NC      | $63064.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4171000 | NC      | $97142.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3560000 | NC      | $167925.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3330000 | NC      | $135697.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25757000 | NC      | $773482.71    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  40235000 | NC      | $594270.95    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3452000 | NC      | $97277.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3017000 | NC      | $22687.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14186000 | NC      | $31067.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7517000 | NC      | $124857.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17859000 | NC      | $222523.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    269000 | NC      | $1113.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5966000 | NC      | $98498.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2733000 | NC      | $2569.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2733000 | NC      | $3388.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2579000 | NC      | $12482.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4073000 | NC      | $2158.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5742000 | NC      | $39447.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8222000 | NC      | $1891.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20372000 | NC      | $34632.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6307000 | NC      | $30399.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2230000 | NC      | $27540.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2230000 | NC      | $28187.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15031000 | NC      | $10371.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  43846100 | NC      | $54369.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4667000 | NC      | $4900.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9315000 | NC      | $8942.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1551000 | NC      | $217.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5199000 | NC      | $4003.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7383000 | NC      | $37210.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4882000 | NC      | $38274.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19814000 | NC      | $57856.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12293000 | NC      | $93303.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8238000 | NC      | $16228.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2390000 | NC      | $26433.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9571000 | NC      | $5359.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3164000 | NC      | $7403.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11030000 | NC      | $9596.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16814000 | NC      | $7566.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7076000 | NC      | $15001.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9361000 | NC      | $561.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1504000 | NC      | $5760.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3978000 | NC      | $39978.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  85713000 | NC      | $356566.08    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17625000 | NC      | $445560.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 171426000 | NC      | $697703.82    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  79885000 | NC      | $1032913.05   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 142776000 | NC      | $3603666.24   | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35250000 | NC      | $918615.00    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  41362000 | NC      | $757751.84    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  54289000 | NC      | $1546087.47   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17014000 | NC      | $96129.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  45937000 | NC      | $194313.51    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5017900 | NC      | $198106.69    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1529000 | NC      | $55762.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21663000 | NC      | $2104796.76   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  34655000 | NC      | $243624.65    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3287400 | NC      | $539449.22    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5908000 | NC      | $346326.96    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1234500 | NC      | $60238.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4115000 | NC      | $177602.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1052700 | NC      | $32204.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14354600 | NC      | $888262.65    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  58375300 | NC      | $2642066.08   | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    440000 | NC      | $32648.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24170900 | NC      | $276175.41    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1730900 | NC      | $115935.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6648400 | NC      | $198122.32    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2198600 | NC      | $107159.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1925300 | NC      | $55069.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4397400 | NC      | $131526.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6020200 | NC      | $47198.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29278300 | NC      | $1655102.30   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11005200 | NC      | $620583.23    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    839900 | NC      | $41255.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    622500 | NC      | $30446.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7089000 | NC      | $695289.12    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21728800 | NC      | $195341.91    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4279000 | NC      | $467352.38    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9838700 | NC      | $610392.95    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3219500 | NC      | $95200.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7996800 | NC      | $390643.68    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1817500 | NC      | $76534.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21332000 | NC      | $463331.04    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37990000 | NC      | $252253.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27451300 | NC      | $1570488.87   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13300000 | NC      | $287280.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2039600 | NC      | $48440.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  52684000 | NC      | $21073.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4100000 | NC      | $17835.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3043800 | NC      | $121264.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3519000 | NC      | $87271.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1466000 | NC      | $25396.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2293000 | NC      | $14728.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    116000 | NC      | $926.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19535000 | NC      | $12545.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1990000 | NC      | $6997.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  70180000 | NC      | $106300.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3987000 | NC      | $94794.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11710000 | NC      | $102226.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9810000 | NC      | $5972.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11581000 | NC      | $49914.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10329000 | NC      | $13944.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4756000 | NC      | $25450.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5575000 | NC      | $24240.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    682000 | NC      | $46553.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    272000 | NC      | $45029.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3773000 | NC      | $103002.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12716000 | NC      | $701923.20    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11082000 | NC      | $1327512.78   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3170000 | NC      | $123915.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32580000 | NC      | $1021383.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  56004900 | NC      | $1489170.29   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2330000 | NC      | $206577.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1622500 | NC      | $89221.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4472000 | NC      | $157369.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3899000 | NC      | $254877.63    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  71172900 | NC      | $2115258.59   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3515900 | NC      | $629099.99    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  63314000 | NC      | $1103563.02   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  41483500 | NC      | $474986.08    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4368900 | NC      | $32677.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7340100 | NC      | $161590.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5242900 | NC      | $53477.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8218600 | NC      | $234394.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27208300 | NC      | $868158.42    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2398000 | NC      | $386251.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18195300 | NC      | $995464.86    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18195300 | NC      | $987640.88    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8996400 | NC      | $433860.15    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17137500 | NC      | $1009570.12   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17649000 | NC      | $1099179.72   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29124000 | NC      | $2104266.93   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16756600 | NC      | $1111465.28   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1683100 | NC      | $53623.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2286900 | NC      | $100829.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4997900 | NC      | $373643.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   8470900 | NC      | $682246.29    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3473200 | NC      | $286539.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14087000 | NC      | $348089.77    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  28629000 | NC      | $1356442.02   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3284000 | NC      | $63446.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    495000 | NC      | $14270.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2067000 | NC      | $25858.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  33327700 | NC      | $554572.93    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16345300 | NC      | $18306.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1052700 | NC      | $54166.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15813300 | NC      | $196243.05    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3026200 | NC      | $17249.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1671800 | NC      | $15965.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1555000 | NC      | $59371.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5676000 | NC      | $55965.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29514000 | NC      | $42795.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1852000 | NC      | $6945.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16305000 | NC      | $221318.83    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10427000 | NC      | $218549.92    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1676000 | NC      | $12314.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    863000 | NC      | $6404.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4393900 | NC      | $124479.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12162000 | NC      | $166862.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29664000 | NC      | $665066.88    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3631000 | NC      | $28612.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1447000 | NC      | $18232.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5078000 | NC      | $63322.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5078000 | NC      | $61596.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11079000 | NC      | $148347.81    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4739000 | NC      | $54640.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10652000 | NC      | $136345.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    392000 | NC      | $5033.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1144400 | NC      | $116339.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1556300 | NC      | $352801.57    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1719000 | NC      | $420688.01    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1739200 | NC      | $445957.31    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2008000 | NC      | $556664.29    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1798800 | NC      | $233826.96    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2077000 | NC      | $603295.26    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1655300 | NC      | $432452.12    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1510500 | NC      | $485630.08    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    904900 | NC      | $310642.54    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3288600 | NC      | $1254752.71   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2023200 | NC      | $906862.87    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   8725000 | NC      | $1390416.00   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2735100 | NC      | $1265298.12   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11076900 | NC      | $4280418.41   | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    177000 | NC      | $24887.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1285600 | NC      | $606324.20    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    596700 | NC      | $91126.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    585600 | NC      | $322697.57    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    221500 | NC      | $34654.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    345400 | NC      | $46590.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1289300 | NC      | $189618.52    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3783300 | NC      | $720353.38    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1853200 | NC      | $345078.91    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     82700 | NC      | $20152.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2522800 | NC      | $480240.12    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    863600 | NC      | $162667.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4100000 | NC      | $438988.58    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2373100 | NC      | $967390.98    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MD509M8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   1571100 | NC      | $363697.47    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2436000 | NC      | $524866.06    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2079900 | NC      | $470570.69    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    694000 | NC      | $309081.14    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149B5<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  92703900 | NC      | $2366945.96   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149C3<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  92703900 | NC      | $2476664.37   | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149D1<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  92703900 | NC      | $2585239.87   | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37081600 | NC      | $885519.90    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17960000 | NC      | $1590178.40   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8583000 | NC      | $1258782.78   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4489000 | NC      | $1309665.75   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26548000 | NC      | $967940.08    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  39725000 | NC      | $1447579.00   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6991000 | NC      | $616466.38    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9943000 | NC      | $1458538.67   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17998000 | NC      | $5257755.74   | 1.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8125000 | NC      | $2234375.00   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3304000 | NC      | $287580.16    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    867000 | NC      | $122732.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2215200 | NC      | $137076.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5869000 | NC      | $1442834.96   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3669000 | NC      | $938970.48    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2384000 | NC      | $597287.36    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6666000 | NC      | $1301550.77   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8865400 | NC      | $1874588.83   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  48806000 | NC      | $1693568.20   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4600000 | NC      | $1053998.00   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4617000 | NC      | $520936.11    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30452000 | NC      | $2101492.52   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4119800 | NC      | $486218.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17853500 | NC      | $2302744.43   | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18511500 | NC      | $2396313.68   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9759000 | NC      | $1114770.57   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3014000 | NC      | $79750.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    605000 | NC      | $23945.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    104909 | NC      | $15306.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     32895 | NC      | $4799.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     32895 | NC      | $4799.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     57789 | NC      | $8431.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     63123 | NC      | $9209.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     34229 | NC      | $4994.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     34229 | NC      | $4994.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     38230 | NC      | $5577.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     59567 | NC      | $8690.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     69575 | NC      | $24831.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     11113 | NC      | $1621.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     17781 | NC      | $2594.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     17781 | NC      | $2594.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3378.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      8891 | NC      | $1297.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $4214.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1334 | NC      | $194.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2667 | NC      | $389.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $7142.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3700.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       889 | NC      | $129.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24158 | NC      | $8621.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    192000 | NC      | $33830.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    192000 | NC      | $33830.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    264000 | NC      | $60799.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     94000 | NC      | $15068.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $38743.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     87000 | NC      | $13946.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    416958 | NC      | $154024.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       445 | NC      | $64.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    109355 | NC      | $15954.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1334 | NC      | $194.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    168000 | NC      | $24595.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    259000 | NC      | $51566.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    308000 | NC      | $97020.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $881.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    410123 | NC      | $151499.34    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    452502 | NC      | $167154.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    396000 | NC      | $63478.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    473802 | NC      | $115844.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    518122 | NC      | $191394.17    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    455000 | NC      | $80171.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    241000 | NC      | $38632.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    740000 | NC      | $128908.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $8187.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    736000 | NC      | $128211.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    302000 | NC      | $52608.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    284000 | NC      | $50495.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    461000 | NC      | $118661.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    207000 | NC      | $36804.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    373000 | NC      | $65722.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    485000 | NC      | $87397.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $38743.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $5766.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    246000 | NC      | $44329.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     72000 | NC      | $14335.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $18135.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     52000 | NC      | $9370.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    683000 | NC      | $123076.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     33000 | NC      | $6570.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $4778.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    120000 | NC      | $23892.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $15928.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $398.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     63000 | NC      | $12543.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $38743.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    349000 | NC      | $62889.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    161000 | NC      | $29012.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    421059 | NC      | $155539.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    196859 | NC      | $72719.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     63568 | NC      | $9274.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    473000 | NC      | $84099.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    214000 | NC      | $37278.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     54000 | NC      | $9406.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    123000 | NC      | $18007.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     75000 | NC      | $13065.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    110000 | NC      | $28314.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    323000 | NC      | $58204.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    380000 | NC      | $60914.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    139000 | NC      | $25047.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    203000 | NC      | $52252.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $18020.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     75000 | NC      | $13515.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    114000 | NC      | $29343.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    196000 | NC      | $34143.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    575000 | NC      | $148005.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    267000 | NC      | $53159.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     70000 | NC      | $12614.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $11840.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    385000 | NC      | $99099.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1125000 | NC      | $289575.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    131000 | NC      | $33719.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    450000 | NC      | $115830.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    572000 | NC      | $113885.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    388000 | NC      | $69917.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    222000 | NC      | $44200.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    120000 | NC      | $23892.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    536000 | NC      | $168840.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    316000 | NC      | $62915.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     36720 | NC      | $13105.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    837000 | NC      | $263655.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    464000 | NC      | $146160.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    208000 | NC      | $41412.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    321000 | NC      | $97937.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     52000 | NC      | $10353.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    225000 | NC      | $40545.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     97000 | NC      | $19312.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     97000 | NC      | $16897.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $12509.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     23192 | NC      | $8277.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    236747 | NC      | $84494.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    101798 | NC      | $14852.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     51566 | NC      | $7523.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     70000 | NC      | $13937.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     40897 | NC      | $5966.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    165769 | NC      | $40530.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |    201026 | NC      | $49150.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     90307 | NC      | $22080.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     16701 | NC      | $4083.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    159948 | NC      | $59084.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    172000 | NC      | $56175.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   1876000 | NC      | $354001.20    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    734000 | NC      | $138505.80    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |   2180000 | NC      | $411366.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    351000 | NC      | $66233.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    214000 | NC      | $69892.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    174000 | NC      | $56828.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     54000 | NC      | $17636.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    293000 | NC      | $95693.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    336000 | NC      | $63403.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     42000 | NC      | $13717.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    268000 | NC      | $87528.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    188000 | NC      | $61400.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    919000 | NC      | $173415.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    476000 | NC      | $89821.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     43000 | NC      | $13119.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2745.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     78000 | NC      | $23797.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    161000 | NC      | $49121.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    606000 | NC      | $190890.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    478000 | NC      | $156114.80    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    319000 | NC      | $100485.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    605000 | NC      | $190575.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $41880.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    241000 | NC      | $75915.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    292000 | NC      | $91980.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    292000 | NC      | $91980.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     26000 | NC      | $5444.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $67725.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    136250 | NC      | $48627.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     94000 | NC      | $28679.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $5004.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     64936 | NC      | $23987.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     71000 | NC      | $14867.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    174986 | NC      | $64639.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      2000 | NC      | $610.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    584000 | NC      | $183960.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1838033 | NC      | $678969.55    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2666000 | NC      | $870715.60    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2460000 | NC      | $464202.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2052000 | NC      | $670183.20    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     14354 | NC      | $5302.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    297000 | NC      | $62191.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     56900 | NC      | $8301.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    416000 | NC      | $73964.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    101353 | NC      | $14787.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     82683 | NC      | $12063.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     72014 | NC      | $10506.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    414000 | NC      | $73609.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    192038 | NC      | $28018.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $5004.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1422.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    278000 | NC      | $49428.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    159142 | NC      | $23218.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $9306.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    176479 | NC      | $25748.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $7627.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     51121 | NC      | $7458.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    139000 | NC      | $25047.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                      | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $284250.00    | 0.07%             | N/A             | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                            | PERPETUAL BONDS                       | CUSIP: 251525AX9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $181530.78    | 0.05%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                          | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     41000 | PA      | $34242.38     | 0.01%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                        | PERPETUAL BONDS                       | CUSIP: 060505EN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    148000 | PA      | $148059.20    | 0.04%             | N/A             | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | RA               | CORP              | US        |  16306000 | PA      | $16306000.00  | 4.19%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC               | RIGHTS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     21073 | NS      | $24233.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                           | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  51546233 | NS      | $51546233.00  | 13.23%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   7795000 | NS      | $7795000.00   | 2.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 109579100 | NC      | $-662356.79   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2202100 | NC      | $-30667.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2202100 | NC      | $36309.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4718700 | NC      | $-100555.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4718700 | NC      | $145100.02    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3146000 | NC      | $-203808.16   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   3146000 | NC      | $228296.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9928600 | NC      | $-165040.81   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9928600 | NC      | $121380.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  12168600 | NC      | $-399495.14   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  12168600 | NC      | $263450.19    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  10783700 | NC      | $81740.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  10783700 | NC      | $102876.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4270400 | NC      | $27159.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4270400 | NC      | $29935.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    953100 | NC      | $19328.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    953100 | NC      | $-40373.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  21969300 | NC      | $-83483.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  57428200 | NC      | $-202907.47   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  57428200 | NC      | $-166696.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   9044400 | NC      | $366840.86    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   9044400 | NC      | $-197348.81   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  16333000 | NC      | $-45569.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  16333000 | NC      | $-68925.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  11414100 | NC      | $-437502.45   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  11414100 | NC      | $10843.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  28152400 | NC      | $-79108.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  28152400 | NC      | $-246333.50   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  14076200 | NC      | $-430168.67   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  14076200 | NC      | $-89102.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9143300 | NC      | $-81009.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9143300 | NC      | $-39864.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8869000 | NC      | $-71484.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8869000 | NC      | $-29533.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9049800 | NC      | $-187149.86   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9049800 | NC      | $70045.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4077500 | NC      | $-63975.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4077500 | NC      | $2079.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  65311700 | NC      | $-195935.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22859100 | NC      | $74292.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22859100 | NC      | $88921.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  65311700 | NC      | $-112336.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22859100 | NC      | $49375.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22859100 | NC      | $65377.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  42799900 | NC      | $-116415.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  42799900 | NC      | $-58207.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   6533800 | NC      | $-21030.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   6533800 | NC      | $17156.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   1629100 | NC      | $211.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   1629100 | NC      | $-87124.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2064000 | NC      | $-164088.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2064000 | NC      | $-5304.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   2064000 | NC      | $-142354.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   2064000 | NC      | $-8751.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   2738700 | NC      | $-118448.78   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   2738700 | NC      | $-181657.97   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3098200 | NC      | $-88852.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3098200 | NC      | $347099.13    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4687800 | NC      | $-406479.14   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4687800 | NC      | $648041.47    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9326800 | NC      | $-457945.88   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9326800 | NC      | $1116138.16   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4317900 | NC      | $426446.74    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4317900 | NC      | $-125325.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4749700 | NC      | $584783.06    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4749700 | NC      | $-240857.29   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2068300 | NC      | $375678.53    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2068300 | NC      | $-110704.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4450300 | NC      | $-169556.43   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4450300 | NC      | $164705.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1548000 | NC      | $270847.25    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1548000 | NC      | $-124484.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4644000 | NC      | $-193972.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4644000 | NC      | $590498.83    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3867400 | NC      | $-132729.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   3867400 | NC      | $263524.64    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1584500 | NC      | $64473.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1584500 | NC      | $-42005.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  16254000 | NC      | $222192.18    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  11377800 | NC      | $-443847.98   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  14707300 | NC      | $-1016715.65  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  14707300 | NC      | $747572.06    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  32507900 | NC      | $-1250578.91  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  65015900 | NC      | $782141.28    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4617700 | NC      | $172240.21    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4617700 | NC      | $-128926.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  23865100 | NC      | $-156316.40   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  23865100 | NC      | $324565.36    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4626600 | NC      | $-84124.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   4626600 | NC      | $181147.58    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5302300 | NC      | $-212618.72   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5302300 | NC      | $522957.47    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  95706500 | NC      | $-755124.28   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  95706500 | NC      | $1681563.20   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  35403600 | NC      | $1353479.63   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  35403600 | NC      | $-686121.77   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2121700 | NC      | $250233.30    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2121700 | NC      | $-194135.55   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  22135000 | NC      | $-864371.75   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  22135000 | NC      | $389133.30    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3636400 | NC      | $124001.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3636400 | NC      | $-209856.64   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  14768300 | NC      | $-488683.05   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  14768300 | NC      | $757613.79    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7816900 | NC      | $-587205.53   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7816900 | NC      | $1258599.07   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8954300 | NC      | $1401795.66   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8954300 | NC      | $-667363.98   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7654400 | NC      | $-563363.84   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7654400 | NC      | $1227153.41   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        | 219158200 | NC      | $674269.68    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: 99MK129K6<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | US        |   2435000 | NC      | $2137540.40   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   2089000 | NC      | $2188394.62   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8100000 | PA      | $8077960.14   | 2.07%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $199977.82    | 0.05%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1392527.95   | 0.36%             | 2023-03-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. BOND                          | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    116000 | PA      | $105485.76    | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    432000 | PA      | $377369.28    | 0.10%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND                                      | VAR.RT. CORP. BONDS                   | CUSIP: 46556L2A1<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | KY        |   1030000 | PA      | $947260.10    | 0.24%             | 2031-04-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer