# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-26-051337
**Filing Date:** 2026-5
**Character Count:** 423254
**Document Hash:** a1aab752754ac2b12252c02ddbe61b2a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051337.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051337

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 261017898

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs Global Core Fixed Income Fund (Series ID: S000009308)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000025414 | Institutional   | GSGLX           |
| C000025415 | Service         | GGISX           |
| C000025416 | Class A         | GSGIX           |
| C000025418 | Class C         | GSLCX           |
| C000090762 | Investor Shares | GBIRX           |
| C000161291 | Class R6 Shares | GBIUX           |
| C000202039 | Class P Shares  | GGXPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4600

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

- **a. Name of Series:** Goldman Sachs Global Core Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000009308

- **c. LEI of Series:** S7AVHSYYPK5PCOCQSV77

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $912861553.51

**Total Liabilities:** $88029133.20

**Net Assets:** $824832420.31

**Delayed Delivery Securities:** $1730334.49

**Cash Not Reported:** $28964181.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1009.35000000 | **1-Year:** -34112.87000000 | **5-Year:** -76130.54000000 | **10-Year:** -33217.84000000 | **30-Year:** -8206.62000000

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

- **3-Month:** -91.10000000 | **1-Year:** -5557.18000000 | **5-Year:** -66071.98000000 | **10-Year:** -2446.09000000 | **30-Year:** -6245.05000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025414 | 0.18%                | 1.40%                | -2.13%               |
| Class ID C000025415 | 0.14%                | 1.37%                | -2.28%               |
| Class ID C000025416 | 0.24%                | 1.37%                | -2.24%               |
| Class ID C000025418 | 0.18%                | 1.32%                | -2.33%               |
| Class ID C000090762 | 0.26%                | 1.39%                | -2.23%               |
| Class ID C000161291 | 0.27%                | 1.40%                | -2.22%               |
| Class ID C000202039 | 0.27%                | 1.40%                | -2.21%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2526666.54             | $6138787.45                                |
| Month 2  | $1051132.93              | $4071361.17                                |
| Month 3  | $114319.05               | $-20068719.58                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays Global Aggregate Bond Index

- **Index Identifier:** LMGLRETWTY

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                                                           | CUSIP: 00084DAU4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1200000 | PA      | $1192116.00   | 0.14%             | 2027-06-16      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                                    | AGL CLO 3 LTD                                                                                                              | CUSIP: 00119MAN9<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2091761.70   | 0.25%             | 2038-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                                                                  | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |      925000 | PA      | $936701.25    | 0.11%             | 2029-06-24      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ABU DHABI CRUDE OIL                               | Abu Dhabi Crude Oil Pipeline LLC                                                                                           | CUSIP: 00401MAB2<br>LEI: 549300DONDFW2383FV66 | Long             | DBT              | CORP              | AE        |      250000 | PA      | $215598.65    | 0.03%             | 2047-11-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      244000 | PA      | $234962.24    | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      200000 | PA      | $202606.00    | 0.02%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MBN4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1375000 | PA      | $1385065.00   | 0.17%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                                             | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1314677.00   | 0.16%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                         | ALA Trust 2025-OANA                                                                                                        | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1950000 | PA      | $1950409.07   | 0.24%             | 2040-06-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3000000 | PA      | $-2411132.70  | -0.29%            | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22000000 | PA      | $18493750.00  | 2.24%             | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $878828.10    | 0.11%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $6413203.30   | 0.78%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4711914.00   | 0.57%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8000000 | PA      | $7936875.20   | 0.96%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $3056953.20   | 0.37%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2000000 | PA      | $2068437.60   | 0.25%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                                                                         | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $673588.50    | 0.08%             | 2027-11-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                                                           | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      875000 | PA      | $871167.50    | 0.11%             | 2030-08-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                    | Amazon.com Inc                                                                                                             | CUSIP: 023135DF0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      900000 | PA      | $891612.00    | 0.11%             | 2036-03-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                             | American Homes 4 Rent LP                                                                                                   | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |      125000 | PA      | $110061.25    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                                                                  | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      650000 | PA      | $659594.00    | 0.08%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2019-6                                                                                            | CUSIP: 03464VAE4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     1825000 | PA      | $1758928.25   | 0.21%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                                                            | CUSIP: 03465EAA9<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      539817 | PA      | $467991.49    | 0.06%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-11                                                                                           | CUSIP: 03466FAC1<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |     2166701 | PA      | $2160130.42   | 0.26%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-7                                                                                            | CUSIP: 03466TAA5<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |     1985269 | PA      | $1991866.28   | 0.24%             | 2070-06-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                    | AutoNation Inc                                                                                                             | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $188354.00    | 0.02%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                    | AutoNation Inc                                                                                                             | CUSIP: 05329WAU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2150000 | PA      | $2132413.00   | 0.26%             | 2029-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                                                                | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1036000 | PA      | $1039988.60   | 0.13%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Trust 2025-EWEST                                                                                                      | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1745630.86   | 0.21%             | 2042-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                           | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49454.50     | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1775000 | PA      | $1683016.96   | 0.20%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                                                             | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475000 | PA      | $439375.00    | 0.05%             | 2037-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-660F                                                                                   | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2650000 | PA      | $2636081.80   | 0.32%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-660F                                                                                   | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250000 | PA      | $2243480.38   | 0.27%             | 2042-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                                                                 | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $2456527.90   | 0.30%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-ROIC                                                                                                         | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1464023 | PA      | $1456307.98   | 0.18%             | 2030-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY 2013-1515 Mortgage Trust                                                                                              | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1156757 | PA      | $1111885.50   | 0.13%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-BIO                                                                                                          | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2050000 | PA      | $2042419.31   | 0.25%             | 2041-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-XL5                                                                                      | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672414 | PA      | $672450.01    | 0.08%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-VLT5                                                                                     | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $892367.10    | 0.11%             | 2046-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-1C                                                                                     | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800000 | PA      | $1830870.56   | 0.22%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                                                                         | CUSIP: 05946KAT8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     1600000 | PA      | $1581120.00   | 0.19%             | 2029-03-03      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                         | CUSIP: 05964HAF2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $987440.00    | 0.12%             | 2028-02-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                         | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $1008230.00   | 0.12%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                         | CUSIP: 05971KAH2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $591696.00    | 0.07%             | 2026-11-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                       | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      375000 | PA      | $346425.00    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                       | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2125000 | PA      | $2155153.75   | 0.26%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                       | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2993000 | PA      | $3087369.29   | 0.37%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR7                                                                                                            | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1237410.91   | 0.15%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK47                                                                                                            | CUSIP: 06540GAV0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     1250000 | PA      | $1307701.60   | 0.16%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2022-BNK40                                                                                                            | CUSIP: 06541LBG0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     1150000 | PA      | $1068766.93   | 0.13%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR16                                                                                                           | CUSIP: 065934BF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2252574.41   | 0.27%             | 2063-08-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR10                                                                                                           | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $407921.51    | 0.05%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2025-5YR14                                                                                                           | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1549862.54   | 0.19%             | 2058-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2024-5YR11                                                                                                           | CUSIP: 06644WBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575000 | PA      | $594522.57    | 0.07%             | 2057-11-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 Trust 2025-5YR13                                                                                                     | CUSIP: 06650CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1050000 | PA      | $1086526.86   | 0.13%             | 2058-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2026-5YR20                                                                                                           | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1624133.86   | 0.20%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                       | Bacardi Ltd                                                                                                                | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     1200000 | PA      | $1197960.00   | 0.15%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                               | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      605000 | PA      | $610711.20    | 0.07%             | 2028-03-12      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                               | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      573000 | PA      | $588654.36    | 0.07%             | 2030-03-12      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                               | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      639000 | PA      | $642322.80    | 0.08%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                               | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1250000 | PA      | $1271262.50   | 0.15%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                   | Barclays Dryrock Issuance Trust                                                                                            | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |     1500000 | PA      | $1500494.33   | 0.18%             | 2029-02-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                    | Barings CLO Ltd 2024-I                                                                                                     | CUSIP: 06763VAL9<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |     3475000 | PA      | $3463796.60   | 0.42%             | 2039-01-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2023-B39 Mortgage Trust                                                                                          | CUSIP: 081925AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1125000 | PA      | $1175787.57   | 0.14%             | 2056-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2024-UNIV                                                                                   | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1600198.24   | 0.19%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-5MW                                                                                    | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2550000 | PA      | $2529138.60   | 0.31%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust                           | BMW Vehicle Lease Trust 2025-1                                                                                             | CUSIP: 096912AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1775000 | PA      | $1781364.01   | 0.22%             | 2028-06-26      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4954000 | PA      | $5029697.12   | 0.61%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                                                              | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1634000 | PA      | $1779916.20   | 0.22%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                                                                        | CUSIP: 110709FY3<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |     2000000 | PA      | $1519516.93   | 0.18%             | 2040-06-18      | Fixed         | 4.95%                 | No            |                  1 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                               | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1531000 | PA      | $1300814.15   | 0.16%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-TAIL                                                                                                         | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1550000 | PA      | $1547112.02   | 0.19%             | 2035-06-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2026-CSMO                                                                                     | CUSIP: 12433LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1748195.91   | 0.21%             | 2043-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                 | CBRE Services Inc                                                                                                          | CUSIP: 12505BAH3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      258000 | PA      | $264155.88    | 0.03%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                                                            | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299847.00    | 0.04%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2025-I1                                                                                                          | CUSIP: 12571DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      849480 | PA      | $853536.89    | 0.10%             | 2069-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-277P Mortgage Trust                                                                                              | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     1825000 | PA      | $1902849.94   | 0.23%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                                                            | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      325000 | PA      | $299373.75    | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-38                                                                                             | CUSIP: 12667GY98<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |       26938 | PA      | $24471.26     | 0.00%             | 2035-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CAMPBELLS COMPANY/THE                             | Campbell's Company/The                                                                                                     | CUSIP: 134429BN8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1009360.00   | 0.12%             | 2029-03-21      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle US CLO 2022-3 Ltd                                                                                                  | CUSIP: 143111BG6<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1709965.25   | 0.21%             | 2039-04-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                               | Carrier Global Corp                                                                                                        | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      145000 | PA      | $142661.15    | 0.02%             | 2027-02-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                            | CUSIP: 16159HAG2<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |      275000 | PA      | $277784.18    | 0.03%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                            | CUSIP: 16159HAH0<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |      425000 | PA      | $426241.98    | 0.05%             | 2055-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust Series 2024-3                                                                            | CUSIP: 16159HAN7<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $203076.50    | 0.02%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                                                                       | CUSIP: 168863DS4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      430000 | PA      | $325080.00    | 0.04%             | 2041-05-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                            | Choice Hotels International Inc                                                                                            | CUSIP: 169905AG1<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |      248000 | PA      | $232616.56    | 0.03%             | 2031-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2025-II Ltd                                                                                                   | CUSIP: 17181DAA4<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |     2150000 | PA      | $2143560.75   | 0.26%             | 2038-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                              | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1776880.00   | 0.22%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                                                                        | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     1675000 | PA      | $1685782.70   | 0.20%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2017-P8                                                                                | CUSIP: 17326DAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $284865.45    | 0.03%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-HX1 Mortgage Loan Trust                                                                                          | CUSIP: 19688KAC8<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |     1871117 | PA      | $1611279.83   | 0.20%             | 2066-10-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2025-6 Mortgage Loan Trust                                                                                            | CUSIP: 19689BAA1<br>LEI: 213800IXUWCX6RHIO921 | Long             | ABS-MBS          | CORP              | US        |     1726990 | PA      | $1733247.65   | 0.21%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2025-7 Mortgage Loan Trust                                                                                            | CUSIP: 19689CAA9<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |     2608074 | PA      | $2613388.52   | 0.32%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                                                               | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      300000 | PA      | $298821.00    | 0.04%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753GAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     1650000 | PA      | $1648711.52   | 0.20%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      450000 | PA      | $451943.64    | 0.05%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754AAB9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      282154 | PA      | $282413.75    | 0.03%             | 2041-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754DAA5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |       16390 | PA      | $16405.92     | 0.00%             | 2042-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      227000 | PA      | $229830.55    | 0.03%             | 2042-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754GAE0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     1845000 | PA      | $1845758.11   | 0.22%             | 2044-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      137080 | PA      | $137441.17    | 0.02%             | 2041-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754VAA5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      779810 | PA      | $781543.29    | 0.09%             | 2045-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20754XAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     1100594 | PA      | $1100731.55   | 0.13%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755BAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     1380000 | PA      | $1374047.65   | 0.17%             | 2046-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755JAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     1850000 | PA      | $1840604.04   | 0.22%             | 2045-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      623269 | PA      | $622074.46    | 0.08%             | 2044-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 207941AB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      250000 | PA      | $251420.03    | 0.03%             | 2044-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                                                                   | CUSIP: 21036PBC1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25098.25     | 0.00%             | 2028-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5000000 | PA      | $4119179.50   | 0.50%             | 2056-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1783546.00  | -0.22%            | 2056-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1871171.80  | -0.23%            | 2056-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -9000000 | PA      | $-8680192.20  | -1.05%            | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -2000000 | PA      | $-1979039.40  | -0.24%            | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $1005530.10   | 0.12%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4000000 | PA      | $4065937.60   | 0.49%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                 | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1000000 | PA      | $1036015.60   | 0.13%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                               | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2800000 | PA      | $2767884.00   | 0.34%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                                                              | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      700000 | PA      | $704781.00    | 0.09%             | 2027-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                                                                        | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1346802.02   | 0.16%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                            | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     1275000 | PA      | $1273113.00   | 0.15%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                                                          | CUSIP: 24703TAG1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      550000 | PA      | $561258.50    | 0.07%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                                                                        | CUSIP: 25746UDY2<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      925000 | PA      | $928034.00    | 0.11%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                             | DP World Crescent Ltd                                                                                                      | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |      750000 | PA      | $733650.00    | 0.09%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850000 | PA      | $1865360.70   | 0.23%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2250000 | PA      | $2268564.80   | 0.28%             | 2042-08-10      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                   | Durst Commercial Mortgage Trust 2025-151                                                                                   | CUSIP: 266895AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1025000 | PA      | $1030129.13   | 0.12%             | 2042-08-10      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                     | ECMC Group Student Loan Trust 2017-1                                                                                       | CUSIP: 26828WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1839778 | PA      | $1862685.48   | 0.23%             | 2066-12-27      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                                                                   | CUSIP: 268317AU8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     1450000 | PA      | $1448999.50   | 0.18%             | 2028-09-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                          | Eagle Funding Luxco Sarl                                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     2450000 | PA      | $2456125.00   | 0.30%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-8150.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-2828.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $76063.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $36714.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $400160.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1409773.20   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1594.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-13563.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1497295.77   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $31289.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3848435.10   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-9132.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-14412.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $58996.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $39244.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-4361.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-68843.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $30611.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $10762.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27196.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $37064.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-13466.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $56551.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3687.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $-61853.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2837.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PHP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PH        |           1 | NC      | $-28779.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-15978.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-11669.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $9552.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $-3950.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-3067.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $-22623.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $217684.59    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-19868.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $22611.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SEK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |           1 | NC      | $-200079.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-248.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |           1 | NC      | $-71428.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15451.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PHP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $39639.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |           1 | NC      | $-32096.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CLP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CL        |           1 | NC      | $-19783.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27981.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $304316.02    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $-32935.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CZK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CZ        |           1 | NC      | $-146590.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD PLN                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $102830.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $70241.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $209334.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $4101.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |           1 | NC      | $28462.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15217.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ILS / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |           1 | NC      | $-10080.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |           1 | NC      | $-44108.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $12619.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $9517.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $24188.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3984.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $68894.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $546.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $13850.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-23136.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $102725.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $-31156.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $193346.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-238329.67   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $80400.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-188995.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CZK                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $119587.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3650.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-84806.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $-185790.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-85016.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15533.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $716.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $56901.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NZD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-161959.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7488.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-282.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $438.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $19412.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $34194.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD THB                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $44212.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $4222.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED NOK / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |           1 | NC      | $-2804.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $53958.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $67995.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $154545.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-52275.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |           1 | NC      | $-1514.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TRY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $4470.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CLP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $5734.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $28809.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $628.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $56912.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $27566.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $-42463.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-15505.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $25854.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2748.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TRY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TR        |           1 | NC      | $-5388.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |           1 | NC      | $-1331.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $-22742.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1257.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1885.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2740.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $1883.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-2739.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $7338.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $32905.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-32914.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CHF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CH        |           1 | NC      | $-15427.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CHF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $15401.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $-3499.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3392.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3286.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $7899.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7925.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-3290.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $11029.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-49137.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |           1 | NC      | $48910.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-7681.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-19926.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $-1371.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1317.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |           1 | NC      | $-1658.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD JPY                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $1657.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD MXN                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2549.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |           1 | NC      | $-7148.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-15203.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |           1 | NC      | $-2732.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6376.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NOK                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2958.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $-6173.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3786.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |           1 | NC      | $8300.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-8426.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $6351.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-6360.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-32683.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $32688.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD BRL                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-14346.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |           1 | NC      | $14797.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD COP                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-8066.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $7105.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-7136.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $-28997.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-6183.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED HUF / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | HU        |           1 | NC      | $1828.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $202.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD HUF                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2371.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ZAR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ZA        |           1 | NC      | $-263.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-6152.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $3780.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-31.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-47.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $-40.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD INR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $33.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $325.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED COP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CO        |           1 | NC      | $-2701.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-2401.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $35888.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-222431.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |           1 | NC      | $5301.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO 23 Ltd                                | Elmwood CLO 23 Ltd                                                                                                         | CUSIP: 29003YAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2775000 | PA      | $2775818.63   | 0.34%             | 2036-04-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 41 Ltd                                | Elmwood CLO 41 Ltd                                                                                                         | CUSIP: 29005BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6000000 | PA      | $6007404.00   | 0.73%             | 2038-07-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                                                               | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      350000 | PA      | $363349.00    | 0.04%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                         | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      750000 | PA      | $779640.00    | 0.09%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                         | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      250000 | PA      | $254722.50    | 0.03%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust                                                                                        | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1550000 | PA      | $1555438.27   | 0.19%             | 2029-07-16      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2025-1                                                                                 | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      289051 | PA      | $289341.88    | 0.04%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                          | Export-Import Bank of Korea                                                                                                | CUSIP: 302154DV8<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      390000 | PA      | $396150.30    | 0.05%             | 2028-01-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                          | Export-Import Bank of Korea                                                                                                | CUSIP: 302154DW6<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      330000 | PA      | $343021.80    | 0.04%             | 2033-01-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                                         | Aviva PLC                                                                                                                  | CUSIP: 000000000<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |       10000 | PA      | $13310.92     | 0.00%             | 2036-11-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31283HZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         870 | PA      | $886.29       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31288EK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $392.15       | 0.00%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128KRY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1905 | PA      | $1939.45      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M5CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4389 | PA      | $4470.25      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M6UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         996 | PA      | $1014.58      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.16         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18208 | PA      | $17808.25     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292H4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         311 | PA      | $316.99       | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1060 | PA      | $1079.56      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1111 | PA      | $1131.81      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2719 | PA      | $2647.30      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312930J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         354 | PA      | $360.59       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312930J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         194 | PA      | $198.06       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 312938XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5432 | PA      | $5522.58      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296JQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $108.71       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         403 | PA      | $410.13       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         279 | PA      | $283.77       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296PBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         583 | PA      | $593.84       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296TGJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $146.09       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296USS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         330 | PA      | $335.87       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296UXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         202 | PA      | $205.74       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         110 | PA      | $111.59       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31296XPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         553 | PA      | $563.38       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         299 | PA      | $304.43       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31297CWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17311 | PA      | $17630.58     | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      688459 | PA      | $624663.23    | 0.08%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      694862 | PA      | $664595.58    | 0.08%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5117689 | PA      | $4170472.09   | 0.51%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      409456 | PA      | $346337.97    | 0.04%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2003975 | PA      | $1794433.26   | 0.22%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      736258 | PA      | $632094.06    | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      743083 | PA      | $664455.38    | 0.08%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4640616 | PA      | $4537575.21   | 0.55%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      622873 | PA      | $505409.80    | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9649 | PA      | $9437.14      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4239 | PA      | $4143.57      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       75576 | PA      | $70347.74     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133B53A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      450121 | PA      | $378897.99    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133B5LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1581700 | PA      | $1289693.33   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1461346 | PA      | $1246152.17   | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      682408 | PA      | $583303.57    | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133KMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1357617 | PA      | $1161726.84   | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133KPAD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      826750 | PA      | $801804.02    | 0.10%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                           | CUSIP: 3133KQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      668255 | PA      | $692198.70    | 0.08%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A1MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95345 | PA      | $95767.01     | 0.01%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A3B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      120126 | PA      | $11366.29     | 0.00%             | 2042-02-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13344 | PA      | $14211.68     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55768 | PA      | $59901.98     | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136AWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      257659 | PA      | $29406.18     | 0.00%             | 2047-05-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1554197 | PA      | $1562921.29   | 0.19%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                         | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90218 | PA      | $8539.69      | 0.00%             | 2044-03-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                         | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      331728 | PA      | $34983.12     | 0.00%             | 2046-05-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                         | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      780269 | PA      | $89090.82     | 0.01%             | 2050-07-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H9Y94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      602712 | PA      | $603270.12    | 0.07%             | 2033-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                         | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      774928 | PA      | $774083.43    | 0.09%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138A2JK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36221 | PA      | $36149.62     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ABMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7187 | PA      | $7153.03      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4449 | PA      | $4427.98      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138AGL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16825 | PA      | $16745.51     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138AK6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16429 | PA      | $16351.31     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ANNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95866 | PA      | $95415.83     | 0.01%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13018 | PA      | $12953.72     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138APHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13088 | PA      | $13026.89     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ARZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       60448 | PA      | $60163.81     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ASU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7674 | PA      | $7638.38      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138AUP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39741 | PA      | $39553.83     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138AWRQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48093 | PA      | $47866.52     | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138AXT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4052 | PA      | $4032.86      | 0.00%             | 2036-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138E22U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15455 | PA      | $15382.58     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138E23U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44672 | PA      | $44461.52     | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ECUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2909 | PA      | $2896.41      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      166239 | PA      | $164677.48    | 0.02%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138LSR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5316 | PA      | $4974.92      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9330 | PA      | $8654.15      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20236 | PA      | $18753.09     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15901 | PA      | $14788.07     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8602 | PA      | $8066.35      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31971 | PA      | $29697.11     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9476 | PA      | $8765.85      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7794 | PA      | $7172.85      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44851 | PA      | $41369.50     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                          | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111237 | PA      | $111691.06    | 0.01%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2076727 | PA      | $1987924.35   | 0.24%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      670321 | PA      | $657531.94    | 0.08%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135855 | PA      | $136899.66    | 0.02%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140L5BW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121427 | PA      | $104361.89    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140M2PZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167869 | PA      | $142130.67    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140MA2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226663 | PA      | $191775.00    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      974226 | PA      | $824853.01    | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140MHEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      698164 | PA      | $564795.03    | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140MJEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      391182 | PA      | $316767.45    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11639 | PA      | $11365.67     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      205985 | PA      | $202441.44    | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9903 | PA      | $9664.86      | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      816339 | PA      | $662106.70    | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      609277 | PA      | $522506.54    | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      358599 | PA      | $307528.87    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      709456 | PA      | $723369.93    | 0.09%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QQUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1501211 | PA      | $1530183.00   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QQWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1032064 | PA      | $1070655.31   | 0.13%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QQWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1022441 | PA      | $1060353.43   | 0.13%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140QRXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      729678 | PA      | $742163.76    | 0.09%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140X6JR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1276242 | PA      | $1233490.82   | 0.15%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140XBJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      316499 | PA      | $308878.13    | 0.04%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154561 | PA      | $132693.87    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      281049 | PA      | $241023.26    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 3140XJZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1346817 | PA      | $1395074.01   | 0.17%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31412MRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3736 | PA      | $3728.58      | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31416QBF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1697 | PA      | $1693.96      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31416RH63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4412 | PA      | $4401.54      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31416SFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5080 | PA      | $5068.07      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31417L5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6036 | PA      | $6026.17      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31417NTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3733 | PA      | $3726.98      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418ACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19362 | PA      | $19271.24     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5140 | PA      | $5118.34      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418AFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2357 | PA      | $2347.16      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      936742 | PA      | $758545.32    | 0.09%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      329690 | PA      | $278919.08    | 0.03%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418QJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1714 | PA      | $1710.66      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31418RGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33530 | PA      | $33464.10     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2884 | PA      | $2879.41      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                            | CUSIP: 31419LZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3535 | PA      | $3528.00      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                           | Fidelity National Information Services Inc                                                                                 | CUSIP: 31620MCD6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     2125000 | PA      | $2114587.50   | 0.26%             | 2029-03-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2025-REV2                                                                                     | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2400000 | PA      | $2395828.46   | 0.29%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                   | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      975000 | PA      | $980440.50    | 0.12%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                   | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      818000 | PA      | $824004.12    | 0.10%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                    | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |       44127 | PA      | $44243.11     | 0.01%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA2                                                                                    | CUSIP: 35564NCX9<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |      963478 | PA      | $963003.94    | 0.12%             | 2044-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA3                                                                                    | CUSIP: 35564NEY5<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | USGSE             | US        |      310500 | PA      | $310264.07    | 0.04%             | 2044-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA3                                                                                    | CUSIP: 35564NFA6<br>LEI: 529900P3PHNE8PW64Z68 | Long             | ABS-MBS          | USGSE             | US        |     1138306 | PA      | $1137365.48   | 0.14%             | 2044-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM5 Trust                                                                                                       | CUSIP: 36168KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1318262 | PA      | $1112474.34   | 0.13%             | 2066-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      131343 | PA      | $126156.65    | 0.02%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12367 | PA      | $11869.75     | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      283276 | PA      | $271673.23    | 0.03%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197039 | PA      | $188800.32    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      716591 | PA      | $683234.23    | 0.08%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      246883 | PA      | $242904.75    | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      138622 | PA      | $139999.97    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65051 | PA      | $64124.83     | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22341 | PA      | $22023.29     | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78272 | PA      | $77109.03     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      178121 | PA      | $175362.10    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      377185 | PA      | $371107.62    | 0.04%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      724792 | PA      | $692245.06    | 0.08%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1162987 | PA      | $1144248.07   | 0.14%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      160582 | PA      | $162177.62    | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      160603 | PA      | $162098.67    | 0.02%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      639338 | PA      | $645293.17    | 0.08%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      268265 | PA      | $270596.05    | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      900249 | PA      | $885461.83    | 0.11%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      457553 | PA      | $461243.23    | 0.06%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      242057 | PA      | $238005.69    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      171372 | PA      | $168557.41    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      256320 | PA      | $258547.18    | 0.03%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      505578 | PA      | $453994.87    | 0.06%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      146722 | PA      | $144311.98    | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1646399 | PA      | $1473258.80   | 0.18%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      613301 | PA      | $548068.89    | 0.07%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      667394 | PA      | $595782.57    | 0.07%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10595982 | PA      | $10319894.21  | 1.25%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors                                    | GMF Floorplan Owner Revolving Trust                                                                                        | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1500000 | PA      | $1504071.54   | 0.18%             | 2028-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      307269 | PA      | $264062.14    | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      727185 | PA      | $626976.75    | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      722144 | PA      | $623081.81    | 0.08%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      259170 | PA      | $223131.46    | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      454396 | PA      | $391211.18    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                         | CUSIP: 3622ABKB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      416871 | PA      | $357992.03    | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      200000 | PA      | $169602.76    | 0.02%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                            | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      249000 | PA      | $247453.71    | 0.03%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                            | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      650000 | PA      | $653042.00    | 0.08%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                             | Kennedy Lewis CLO 22 Ltd                                                                                                   | CUSIP: 37150AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2702781.00   | 0.33%             | 2038-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                       | CUSIP: 378272AV0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      775000 | PA      | $779758.50    | 0.09%             | 2029-03-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                       | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      455000 | PA      | $454099.10    | 0.06%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                                                                       | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1173678.50   | 0.14%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund    | Goldman Sachs Financial Square Government Fund                                                                             | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |     8636502 | NS      | $8636502.00   | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38376MCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      200916 | PA      | $39009.37     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38376VHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      220702 | PA      | $22842.76     | 0.00%             | 2040-02-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38378WUZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      187020 | PA      | $18867.00     | 0.00%             | 2043-08-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       82422 | PA      | $3788.28      | 0.00%             | 2043-10-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379FEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       69053 | PA      | $7903.66      | 0.00%             | 2045-11-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379M4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       74080 | PA      | $13757.87     | 0.00%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379QCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      114099 | PA      | $13429.69     | 0.00%             | 2045-09-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379TYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       85418 | PA      | $9749.25      | 0.00%             | 2046-01-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75126 | PA      | $9768.75      | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38380YR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      236360 | PA      | $26794.85     | 0.00%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118273 | PA      | $12861.00     | 0.00%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81757 | PA      | $9123.24      | 0.00%             | 2049-06-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38382BBF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1071362 | PA      | $200056.50    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                   | CUSIP: 38382FV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      456846 | PA      | $97800.66     | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                                                                    | CUSIP: 404119CJ6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      250000 | PA      | $242130.00    | 0.03%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                          | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      975000 | PA      | $982595.25    | 0.12%             | 2028-11-19      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-6                                                                                      | CUSIP: 41161UAE2<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      133432 | PA      | $98850.67     | 0.01%             | 2036-08-19      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                                                                  | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50009.00     | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                          | Host Hotels & Resorts LP                                                                                                   | CUSIP: 44107TBE5<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      275000 | PA      | $271694.50    | 0.03%             | 2028-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                       | Houston Galleria Mall Trust 2025-HGLR                                                                                      | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975000 | PA      | $994824.28    | 0.12%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                                                               | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      817000 | PA      | $847098.28    | 0.10%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                                                               | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      750000 | PA      | $761190.00    | 0.09%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3100000 | PA      | $3174552.71   | 0.38%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2025-SPRL Mortgage Trust                                                                                      | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $770054.31    | 0.09%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                                                                    | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      941000 | PA      | $928992.84    | 0.11%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2100000 | PA      | $2117688.97   | 0.26%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      675000 | PA      | $669254.21    | 0.08%             | 2047-03-14      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                         | IRV Trust 2025-200P                                                                                                        | CUSIP: 45006HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $751165.62    | 0.09%             | 2047-03-14      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                               | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $398116.00    | 0.05%             | 2028-03-28      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                     | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |       53000 | PA      | $50841.31     | 0.01%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                          | International Flavors & Fragrances Inc                                                                                     | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |      600000 | PA      | $533898.00    | 0.06%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                                           | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550000 | PA      | $555037.24    | 0.07%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2025-DSC1                                                                                  | CUSIP: 46593TAA0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1388176 | PA      | $1394342.38   | 0.17%             | 2065-09-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-VIS1                                                                                  | CUSIP: 465970AA9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1185393 | PA      | $1191204.00   | 0.14%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-LTV1                                                                                         | CUSIP: 465976AB4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      292917 | PA      | $261317.71    | 0.03%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2023-HE3                                                                                          | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |      248122 | PA      | $248513.41    | 0.03%             | 2054-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                                                            | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962757 | PA      | $945977.17    | 0.11%             | 2037-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3125000 | PA      | $3124125.00   | 0.38%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1803445.00   | 0.22%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PFD3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3445575.00   | 0.42%             | 2031-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                                            | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1201025.74   | 0.15%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2021-LTV2                                                                                       | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      887112 | PA      | $751998.04    | 0.09%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2024-1                                                                                          | CUSIP: 46657PAD5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      374120 | PA      | $374923.90    | 0.05%             | 2054-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-3                                                                                     | CUSIP: 46657QAH4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1561925 | PA      | $1425829.80   | 0.17%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-4                                                                                     | CUSIP: 46657WAH1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $710671.22    | 0.09%             | 2054-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-VIS2                                                                                  | CUSIP: 46658DAA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     1548726 | PA      | $1557880.37   | 0.19%             | 2064-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2025-VIS1                                                                                         | CUSIP: 46659BAA0<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |     1333794 | PA      | $1338351.29   | 0.16%             | 2055-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2025-NSLB                                                             | CUSIP: 46659JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1653760.86   | 0.20%             | 2042-06-05      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2026-VIS1                                                                                  | CUSIP: 46660PAC2<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-MBS          | CORP              | US        |     2532114 | PA      | $2507699.65   | 0.30%             | 2066-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| KOREA HYDRO & NUCLEAR PO                          | Korea Hydro & Nuclear Power Co Ltd                                                                                         | CUSIP: 50064YAQ6<br>LEI: 9884008CRY5MLCN8OQ43 | Long             | DBT              | NUSS              | KR        |      630000 | PA      | $629546.40    | 0.08%             | 2027-07-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                     | KRE Commercial Mortgage Trust 2025-AIP4                                                                                    | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1588438 | PA      | $1579946.30   | 0.19%             | 2042-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                              | LBTY Commercial Mortgage Trust 2026-225L                                                                                   | CUSIP: 50178LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1432467.06   | 0.17%             | 2043-02-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Liberty Street Trust                              | LBTY Commercial Mortgage Trust 2026-225L                                                                                   | CUSIP: 50178LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $983844.71    | 0.12%             | 2043-02-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      530000 | PA      | $536560.08    | 0.07%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                       | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205452.54    | 0.02%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                  | LEX 2024-BBG Mortgage Trust                                                                                                | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1875000 | PA      | $1869090.86   | 0.23%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                              | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      630000 | PA      | $672852.60    | 0.08%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                              | CUSIP: 55261FAU8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      525000 | PA      | $527147.25    | 0.06%             | 2029-01-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                              | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1189860.00   | 0.14%             | 2036-01-16      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                              | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1666335.00   | 0.20%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                              | M&T Bank Corp                                                                                                              | CUSIP: 55261FAZ7<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      275000 | PA      | $274117.25    | 0.03%             | 2035-07-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2025-NQM4 Trust                                                                                                        | CUSIP: 55287RAC2<br>LEI: 254900XBKB8JES2BO797 | Long             | ABS-MBS          | CORP              | US        |     1636715 | PA      | $1634906.91   | 0.20%             | 2070-08-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                                                                   | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     1547000 | PA      | $1464343.79   | 0.18%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                                                                                      | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $901537.11    | 0.11%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                               | Macquarie Group Ltd                                                                                                        | CUSIP: 55608JAK4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |      380000 | PA      | $375082.80    | 0.05%             | 2028-11-28      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                                                                          | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |      850000 | PA      | $853578.50    | 0.10%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                              | MAD Commercial Mortgage Trust 2025-11MD                                                                                    | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1457746.36   | 0.18%             | 2042-10-15      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                   | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      875000 | PA      | $884135.00    | 0.11%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                   | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      800000 | PA      | $809400.00    | 0.10%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                                                                   | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     3575000 | PA      | $3607496.75   | 0.44%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                              | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      573000 | PA      | $575956.68    | 0.07%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                              | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      515000 | PA      | $519701.95    | 0.06%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                                                                              | CUSIP: 571903BP7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      135000 | PA      | $136455.30    | 0.02%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                  | CUSIP: 59284MAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      200000 | PA      | $166504.00    | 0.02%             | 2046-10-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                  | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      540000 | PA      | $526797.00    | 0.06%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1680000 | PA      | $2189528.00   | 0.27%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  1 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2017-2                                                                                       | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85364 | PA      | $83879.82     | 0.01%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                             | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3325000 | PA      | $3363237.50   | 0.41%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                             | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1166284.00   | 0.14%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                             | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1141000 | PA      | $1140155.66   | 0.14%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                             | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2471125.00   | 0.30%             | 2029-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3                                                                   | CUSIP: 61779JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2395321 | PA      | $2377857.86   | 0.29%             | 2070-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                                                                   | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1397490 | PA      | $1403259.65   | 0.17%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                 | Mountain View Clo XV Ltd                                                                                                   | CUSIP: 62432PAS1<br>LEI: 254900VKL64PZVEG4F33 | Long             | ABS-CBDO         | CORP              | KY        |     1225000 | PA      | $1225584.33   | 0.15%             | 2037-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                           | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     1625000 | PA      | $1629225.00   | 0.20%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT Finance Corp                                                                                                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      725000 | PA      | $729473.25    | 0.09%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Student Loan Trust 2017-2                                                                                          | CUSIP: 63939RAA2<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |     2642847 | PA      | $2652767.67   | 0.32%             | 2066-12-27      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers CLO 45 Ltd                                                                                  | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |      740000 | PA      | $738813.04    | 0.09%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2025-NQM1                                                                              | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      881941 | PA      | $888361.42    | 0.11%             | 2065-01-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                                                               | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      600000 | PA      | $612246.00    | 0.07%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust               | Nissan Auto Receivables 2023-B Owner Trust                                                                                 | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      173286 | PA      | $174297.36    | 0.02%             | 2028-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                          | OHA Credit Funding 7 Ltd                                                                                                   | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2725000 | PA      | $2725147.15   | 0.33%             | 2038-07-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM2 Trust                                                                                                        | CUSIP: 67118HAA8<br>LEI: 254900OHTVKDKZL33I54 | Long             | ABS-MBS          | CORP              | US        |      903307 | PA      | $905520.96    | 0.11%             | 2063-12-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM14 Trust                                                                                                       | CUSIP: 67119XAC8<br>LEI: 254900C7ZCEHM7Y5MX79 | Long             | ABS-MBS          | CORP              | US        |     2108911 | PA      | $2097930.57   | 0.25%             | 2064-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2025-3BP                                                                                     | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200000 | PA      | $1193877.96   | 0.14%             | 2042-02-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2025-300P                                                                                    | CUSIP: 67121TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1850000 | PA      | $1837031.04   | 0.22%             | 2042-07-13      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM15 Trust                                                                                                       | CUSIP: 67122CAA3<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |     2031114 | PA      | $2028698.53   | 0.25%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2200189.02   | 0.27%             | 2040-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2025-11X                                                                                     | CUSIP: 67122NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1300406.04   | 0.16%             | 2040-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM21 Trust                                                                                                       | CUSIP: 67448BAD6<br>LEI: 254900E5OS34AOMYSY84 | Long             | ABS-MBS          | CORP              | US        |     2087382 | PA      | $2078704.19   | 0.25%             | 2065-10-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM11 Trust                                                                                                       | CUSIP: 67449BAL7<br>LEI: 254900KNWDG7C03UTA13 | Long             | ABS-MBS          | CORP              | US        |     1930433 | PA      | $1935165.39   | 0.23%             | 2065-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                     | 1988 CLO 4 Ltd                                                                                                             | CUSIP: 68252EAJ0<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |     1575000 | PA      | $1575000.00   | 0.19%             | 2037-04-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                     | 1988 CLO 5 Ltd                                                                                                             | CUSIP: 68252PAA4<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |     1275000 | PA      | $1275793.05   | 0.15%             | 2037-07-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                                                                 | CUSIP: 683234B98<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     2300000 | PA      | $1695264.18   | 0.21%             | 2041-06-02      | Fixed         | 4.65%                 | No            |                  1 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     3350000 | PA      | $3228462.00   | 0.39%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1925000 | PA      | $1831637.50   | 0.22%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     4050000 | PA      | $3964302.00   | 0.48%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                                                                | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1143239.75   | 0.14%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                                         | Orange SA                                                                                                                  | CUSIP: 685218AH2<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |     1225000 | PA      | $1212333.50   | 0.15%             | 2029-01-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                               | Otis Worldwide Corp                                                                                                        | CUSIP: 68902VAP2<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      225000 | PA      | $229626.00    | 0.03%             | 2028-08-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OWENS CORNING                                     | Owens Corning                                                                                                              | CUSIP: 690742AM3<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |      975000 | PA      | $936419.25    | 0.11%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency   | PHEAA Student Loan Trust 2016-1                                                                                            | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      549643 | PA      | $547240.97    | 0.07%             | 2065-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                    | PENN Commercial Mortgage Trust 2025-P11                                                                                    | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $2030164.22   | 0.25%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds             | Panama Government International Bonds                                                                                      | CUSIP: 698299BW3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      200000 | PA      | $212837.50    | 0.03%             | 2036-01-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                                                              | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $506980.00    | 0.06%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                        | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       10000 | PA      | $5307.50      | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                                                                        | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      100000 | PA      | $53350.00     | 0.01%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds        | Philippines Government International Bonds                                                                                 | CUSIP: 718286CA3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      470000 | PA      | $377880.00    | 0.05%             | 2041-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 19 2025                                                                                                     | CUSIP: 72132DAA9<br>LEI: 391200PAO6NUBCQMES50 | Long             | ABS-CBDO         | CORP              | KY        |     3325000 | PA      | $3326416.45   | 0.40%             | 2038-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 5                                                                                                           | CUSIP: 72133PAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1875000 | PA      | $1875995.63   | 0.23%             | 2037-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                          | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      600000 | PA      | $601200.00    | 0.07%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                          | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      650000 | PA      | $598838.50    | 0.07%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                              | E.ON International Finance BV                                                                                              | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |      417000 | PA      | $579880.66    | 0.07%             | 2032-06-07      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                  | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $128057.58    | 0.02%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                                                                        | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      847000 | PA      | $851624.62    | 0.10%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3325000 | PA      | $3381087.66   | 0.41%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                                                                       | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1750000 | PA      | $1819297.87   | 0.22%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                                                                         | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      300000 | PA      | $287592.00    | 0.03%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                          | Regatta XXV Funding Ltd                                                                                                    | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3025000 | PA      | $3027181.03   | 0.37%             | 2038-07-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                           | Regatta 30 Funding Ltd                                                                                                     | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4175000 | PA      | $4177713.75   | 0.51%             | 2038-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                     | CUSIP: 760942BH4<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       57058 | PA      | $58256.22     | 0.01%             | 2037-02-14      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                          | Rogers Communications Inc                                                                                                  | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     1074000 | PA      | $1084901.10   | 0.13%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                     | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      240000 | PA      | $235020.00    | 0.03%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                              | SCG Trust 2025-SNIP                                                                                                        | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2550000 | PA      | $2544602.95   | 0.31%             | 2042-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust         | Santander Mortgage Asset Receivable Trust 2025-NQM1                                                                        | CUSIP: 80262BAA8<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-MBS          | CORP              | US        |     1362349 | PA      | $1366303.54   | 0.17%             | 2065-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                            | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      600000 | PA      | $594420.00    | 0.07%             | 2029-09-22      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2025-1                                                                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1240271 | PA      | $1242611.05   | 0.15%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                                                                       | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      330000 | PA      | $302280.00    | 0.04%             | 2054-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                            | Sempra                                                                                                                     | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      700000 | PA      | $687015.00    | 0.08%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-10                                                                                             | CUSIP: 81744FEW3<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |       22395 | PA      | $20684.52     | 0.00%             | 2034-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SHINHAN BANK                                      | Shinhan Bank Co Ltd                                                                                                        | CUSIP: 82460CBF0<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |      240000 | PA      | $240988.80    | 0.03%             | 2028-04-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                             | Silver Point Clo 4 Ltd                                                                                                     | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |     4500000 | PA      | $4502641.50   | 0.55%             | 2037-04-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                     | J M Smucker Co/The                                                                                                         | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1267017.50   | 0.15%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                        | Sodexo Inc                                                                                                                 | CUSIP: 833794AC4<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1039073.25   | 0.13%             | 2030-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                                                                             | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      378000 | PA      | $386973.72    | 0.05%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                                                               | CUSIP: 8426EPAJ7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      375000 | PA      | $372120.00    | 0.05%             | 2028-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                 | Southern Power Co                                                                                                          | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |      475000 | PA      | $468430.75    | 0.06%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                                                                         | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     1275000 | PA      | $1223936.25   | 0.15%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                      | Sunnova Hestia I Issuer LLC                                                                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150266 | PA      | $147375.95    | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                           | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      656000 | PA      | $652031.20    | 0.08%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TPG Trust                                         | TPG Trust 2024-WLSC                                                                                                        | CUSIP: 872973AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2350000 | PA      | $2344995.51   | 0.28%             | 2029-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                   | TEXAS Commercial Mortgage Trust 2025-TWR                                                                                   | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $347812.50    | 0.04%             | 2042-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-1                                                                                           | CUSIP: 89178WBB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $490283.07    | 0.06%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2025-1                                                                                | CUSIP: 891950AA5<br>LEI: 254900QVX5SBHB37FT67 | Long             | ABS-O            | CORP              | US        |     2525000 | PA      | $2547886.75   | 0.31%             | 2038-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                       | Truist Bank                                                                                                                | CUSIP: 89788JAE9<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1574874.00   | 0.19%             | 2027-05-20      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                                                                      | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      225000 | PA      | $225576.00    | 0.03%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                               | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1112000 | PA      | $1135040.64   | 0.14%             | 2030-02-08      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                                                                      | CUSIP: 90276CAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1125000 | PA      | $1108651.40   | 0.13%             | 2050-08-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                                      | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1521000 | PA      | $907276.50    | 0.11%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                                                                       | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      930000 | PA      | $913260.00    | 0.11%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                 | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      225000 | PA      | $231340.50    | 0.03%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                                                                 | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      725000 | PA      | $741798.25    | 0.09%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3560000 | PA      | $2268387.50   | 0.28%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9332332 | PA      | $7150170.20   | 0.87%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                        | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2440000 | PA      | $2372518.75   | 0.29%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                        | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1574700 | PA      | $1379092.73   | 0.17%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                                                                     | CUSIP: 91324PEU2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1775000 | PA      | $1772781.25   | 0.21%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                     | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       31914 | PA      | $31866.13     | 0.00%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                             | Vale Overseas Ltd                                                                                                          | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      350000 | PA      | $352163.00    | 0.04%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Vanguard Intermediate-Term Corporate Bond ETF     | Vanguard Intermediate-Term Corporate Bond ETF                                                                              | CUSIP: 92206C870<br>LEI: VKDXEYNPEMWGHJ22MR31 | Long             | EC               | RF                | US        |        3755 | NS      | $310726.25    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 36 Clo Ltd                                                                                                         | CUSIP: 92332LAF6<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |      900000 | PA      | $871141.50    | 0.11%             | 2032-04-20      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| VERALTO CORP                                      | Veralto Corp                                                                                                               | CUSIP: 92338CAD5<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1072186.50   | 0.13%             | 2028-09-18      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                                                                 | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300075.00    | 0.04%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                                                                          | CUSIP: 92538GAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |       91920 | PA      | $83726.97     | 0.01%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-INV2                                                                                       | CUSIP: 92540BAC3<br>LEI: 213800D3C9UXVQ7TZF09 | Long             | ABS-MBS          | CORP              | US        |      535951 | PA      | $536298.68    | 0.07%             | 2068-08-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-INV2                                                                                       | CUSIP: 92540NAA1<br>LEI: 2138002Y4WGHSN8NFF24 | Long             | ABS-MBS          | CORP              | US        |      962277 | PA      | $963038.31    | 0.12%             | 2069-08-26      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     1088246 | PA      | $1093370.48   | 0.13%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-1                                                                                          | CUSIP: 92540TAL4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     2254219 | PA      | $2265702.60   | 0.27%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-1 Ltd                                                                                                        | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |     1150000 | PA      | $1150607.20   | 0.14%             | 2037-10-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Card issuance Trust                   | WF Card Issuance Trust                                                                                                     | CUSIP: 92970QAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2325000 | PA      | $2337694.62   | 0.28%             | 2030-05-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                           | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      175000 | PA      | $177882.25    | 0.02%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-C59                                                                             | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $991127.63    | 0.12%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAA9<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1606178.99   | 0.19%             | 2035-07-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                            | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1002610.34   | 0.12%             | 2035-07-15      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WCORE Commercial Mortgage Trust                   | WCORE Commercial Mortgage Trust 2024-CORE                                                                                  | CUSIP: 951913AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $899125.57    | 0.11%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                          | Telefonica Emisiones SA                                                                                                    | CUSIP: 000000000<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |      450000 | PA      | $598377.93    | 0.07%             | 2029-10-08      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                                                                       | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      350000 | PA      | $316781.50    | 0.04%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Wise CLO Ltd                                      | WISE CLO 2023-2 Ltd                                                                                                        | CUSIP: 97719TAJ3<br>LEI: 2549000Z4RGK1HNAPB35 | Long             | ABS-CBDO         | CORP              | JE        |     2950000 | PA      | $2954295.20   | 0.36%             | 2039-04-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: IR218405  IRS MYR R F  3.68000 2 NDF / Short: IR218405  IRS MYR P V 03MKLIBO 1 NDF                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | GB        |     1940000 | OU      | $2342.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | Long: IR219081  IRS MYR R F  3.75000 NDF / Short: IR219081  IRS MYR P V 03MKLIB NDF                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | MY        |     3450000 | OU      | $7060.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2044010517 | OU      | $-676041.30   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR233890  IRS BRL R F 13.25000 2 CCPNDFPREDISWAP / Short: SR233890  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    44900000 | OU      | $-142532.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | Long: IR235948  IRS MYR R F  3.25000 2 NDF / Short: IR235948  IRS MYR P V 03MKLIBO 1 NDF                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |     3030000 | OU      | $-8289.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16890000 | OU      | $97941.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13440000 | OU      | $97663.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    24140000 | OU      | $-274141.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   211377916 | OU      | $-1378338.11  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   211377916 | OU      | $856492.44    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |     3800000 | OU      | $-55164.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003325  CDS USD R F  1.00000 2 CCPCDX / Short: SX003325  CDS USD P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   106663785 | OU      | $1887351.68   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR253442  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR253442  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 11764400000 | OU      | $180329.89    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR254459  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR254459  IRS JPY P F  2.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1264498613 | OU      | $45430.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR252840  IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BR252840  IRS BRL P F 12.75000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      150000 | OU      | $468.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR252837  IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BR252837  IRS BRL P F 12.75000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |     3930000 | OU      | $18848.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR252837  IRS BRL R F 12.75000 2 CCPNDFPREDISWAP / Short: SR252837  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    10380000 | OU      | $-49782.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255081  IRS GBP R F  3.75000 2 CCPOIS / Short: SR255081  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    40220000 | OU      | $-477131.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255064  IRS EUR R V 00MESTR 1 CCPOIS / Short: BR255064  IRS EUR P F  2.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |      180000 | OU      | $2479.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255104  IRS CAD R F  3.25000 2 CCPOIS / Short: SR255104  IRS CAD P V 00MCORRA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2050000 | OU      | $-382.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255477  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255477  IRS USD P F  3.40711 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    31380000 | OU      | $549463.80    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255481  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255481  IRS USD P F  3.17503 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    48070000 | OU      | $332317.52    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255047  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255047  IRS EUR P F  2.25000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10550000 | OU      | $150409.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255050  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR255050  IRS EUR P V 06MEURIB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    23040000 | OU      | $-506419.08   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255058  IRS EUR P F  3.00000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1480000 | OU      | $34933.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255084  IRS GBP R F  4.00000 2 CCPOIS / Short: SR255084  IRS GBP P V 00MSONIA 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    16650000 | OU      | $-173894.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255087  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255087  IRS GBP P F  4.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     4370000 | OU      | $78295.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255053  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255053  IRS EUR P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    29230000 | OU      | $981451.93    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255082  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255082  IRS GBP P F  3.75000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      350000 | OU      | $5428.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255030  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255030  IRS USD P F  3.00000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    29020000 | OU      | $328375.81    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255036  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255036  IRS USD P F  3.75000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     6350000 | OU      | $68281.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255119  IRS AUD R F  5.00000 2 CCPVANILLA / Short: SR255119  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7940000 | OU      | $-23559.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255201  IRS NZD R F  3.75000 2 CCPVANILLA / Short: SR255201  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    37520000 | OU      | $-286377.86   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255942  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255942  IRS USD P F  3.29785 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    37000000 | OU      | $418788.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255116  IRS AUD R F  4.75000 2 CCPVANILLA / Short: SR255116  IRS AUD P V 06MBBSW 1 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    38480000 | OU      | $-162725.87   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255133  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR255133  IRS JPY P F  2.50000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   179000000 | OU      | $122726.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255206  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR255206  IRS NZD P V 03MNZDBB 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9890000 | OU      | $-174769.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255182  IRS NOK R F  4.25000 2 CCPVANILLA / Short: SR255182  IRS NOK P V 06MNIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    33860000 | OU      | $-49647.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255159  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR255159  IRS SEK P F  2.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    51020000 | OU      | $157627.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255141  IRS CHF R F   .50000 2 CCPOIS / Short: SR255141  IRS CHF P V 00MSARON 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     5880000 | OU      | $-53052.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255129  IRS JPY R F  1.50000 2 CCPOIS / Short: SR255129  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1610000000 | OU      | $-641487.18   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255126  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR255126  IRS JPY P F  1.25000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 16559000000 | OU      | $2771807.88   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255985  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR255985  IRS EUR P F  2.50000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4890000 | OU      | $42584.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255988  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR255988  IRS AUD P F  4.50000 2 CCPVANILLA                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15170000 | OU      | $36223.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255986  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR255986  IRS GBP P F  4.00000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2730000 | OU      | $15479.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255984  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255984  IRS USD P F  3.25000 2 CCPOIS                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7840000 | OU      | $51159.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR233890  IRS BRL R V 00MBRCDI 2 CCPNDFPREDISWAP / Short: BR233890  IRS BRL P F 13.25000 2 CCPNDFPREDISWAP           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    13990000 | OU      | $44410.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR256088  IRS KRW R V 03MKSDA 1 CCPNDF / Short: BR256088  IRS KRW P F  3.50000 2 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 14437130000 | OU      | $55812.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255465  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255465  IRS THB P F  2.00000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    31340000 | OU      | $17938.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255457  IRS THB R F  1.50000 2 CCPNDFOIS / Short: SR255457  IRS THB P V 00MTHOR 1 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6850000 | OU      | $-3285.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR256085  IRS INR R V 00MMIBOR 1 CCPNDFOIS / Short: BR256085  IRS INR P F  6.00000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   569620000 | OU      | $76318.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255456  IRS THB R V 00MTHOR 1 CCPNDFOIS / Short: BR255456  IRS THB P F  1.25000 2 CCPNDFOIS                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    12730000 | OU      | $2090.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256081  IRS CZK R F  4.25000 2 CCPVANILLA / Short: SR256081  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11040000 | OU      | $-13914.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256079  IRS CZK R F  4.00000 2 CCPVANILLA / Short: SR256079  IRS CZK P V 06MPRIBO 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   126780000 | OU      | $-44300.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256095  IRS ZAR R F  6.75000 2 CCPVANILLA / Short: SR256095  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    76470000 | OU      | $-61023.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR256097  IRS ZAR R V 03MJIBAR 1 CCPVANILLA / Short: BR256097  IRS ZAR P F  7.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30850000 | OU      | $91183.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256096  IRS ZAR R F  7.00000 2 CCPVANILLA / Short: SR256096  IRS ZAR P V 03MJIBAR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17420000 | OU      | $-34881.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR255987  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255987  IRS CAD P F  2.75000 2 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     6620000 | OU      | $5351.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256082  IRS HUF R F  6.25000 2 CCPVANILLA / Short: SR256082  IRS HUF P V 06MBUBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   528920000 | OU      | $-30683.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR256084  IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BR256084  IRS HUF P F  6.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   331000000 | OU      | $27058.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR256237  IRS CLP R F  4.75000 2 CCPNDFCAMARAPROMEDIO / Short: SR256237  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  1911450000 | OU      | $-11262.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR256238  IRS CLP R F  5.25000 2 CCPNDFCAMARAPROMEDIO / Short: SR256238  IRS CLP P V 00MCLICP 1 CCPNDFCAMARAPROMEDIO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   135210000 | OU      | $-886.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR256253  IRS MXN R F  8.00000 2 CCPOIS / Short: SR256253  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    15910000 | OU      | $-36588.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR256252  IRS MXN R F  7.25000 2 CCPOIS / Short: SR256252  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |    76920000 | OU      | $-54386.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: SR256251  IRS MXN R F  7.75000 2 CCPOIS / Short: SR256251  IRS MXN P V 00MTIEF 1 CCPOIS                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    38930000 | OU      | $-49682.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255460  IRS KRW R F  3.50000 2 CCPNDF / Short: SR255460  IRS KRW P V 03MKSDA 1 CCPNDF                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 11329550000 | OU      | $-206602.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256094  IRS PLN R F  4.50000 2 CCPVANILLA / Short: SR256094  IRS PLN P V 06MWIBOR 1 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3640000 | OU      | $-32962.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BR256092  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR256092  IRS PLN P F  3.75000 2 CCPVANILLA                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10850000 | OU      | $43198.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR256284  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR256284  IRS COP P F 12.00000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |   517170000 | OU      | $473.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256075  IRS CNY R F  1.50000 / Short: SR256075  IRS CNY P V 03MCNRR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |   130440000 | OU      | $-116320.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR256074  IRS CNY R F  1.50000 / Short: SR256074  IRS CNY P V 03MCNRR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CN        |   577940000 | OU      | $-37448.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BR256285  IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BR256285  IRS COP P F 11.25000 2 CCPNDFOIS                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | GB        |  4356430000 | OU      | $-12778.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SX003372  CDS EUR R F  1.00000 2 CCPCDX / Short: SX003372  CDS EUR P V 03MEVENT 1 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    44801578 | OU      | $710941.35    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BX003373  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003373  CDS EUR P F  1.00000 2 CCPCDX                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    14610251 | OU      | $272241.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS007037  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS007037  CDS USD P V 03MEVENT 1 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1740000 | OU      | $-1606.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS007039  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS007039  CDS USD P V 03MEVENT 1 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1250000 | OU      | $21761.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: SS007041  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS007041  CDS USD P V 03MEVENT 1 CCPCORPORATE                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |     1150000 | OU      | $6977.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SR255482  IRS JPY R F  1.77125 2 CCPOIS / Short: SR255482  IRS JPY P V 00MTONAR 1 CCPOIS                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   374200000 | OU      | $-7380.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      310000 | PA      | $312463.76    | 0.04%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  1 | On Loan: No      |
| MEX BONOS DESARR FIX RT                           | Mexican Bonos                                                                                                              | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    39000000 | PA      | $1989118.59   | 0.24%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      700000 | PA      | $686541.51    | 0.08%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      800000 | PA      | $474490.39    | 0.06%             | 2066-05-25      | Fixed         | 1.75%                 | No            |                  1 | On Loan: No      |
| Kingdom of Belgium Government Bonds               | Kingdom of Belgium Government Bonds                                                                                        | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      250000 | PA      | $174715.43    | 0.02%             | 2066-06-22      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                  | TotalEnergies SE                                                                                                           | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $346297.35    | 0.04%             | 2026-10-06      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Israel Government Bonds - Fixed                   | Israel Government Bonds - Fixed                                                                                            | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2430000 | PA      | $758332.81    | 0.09%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      210000 | PA      | $163247.08    | 0.02%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                              | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $219949.05    | 0.03%             | 2030-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                       | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      280000 | PA      | $193257.23    | 0.02%             | 2117-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     1760000 | PA      | $1706550.90   | 0.21%             | 2034-05-25      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                   | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |      935000 | PA      | $1079066.45   | 0.13%             | 2026-08-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                            | BP Capital Markets PLC                                                                                                     | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $333047.84    | 0.04%             | 2028-07-03      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     6710000 | PA      | $210455.55    | 0.03%             | 2028-12-17      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DP World Crescent Ltd.                            | DP World Crescent Ltd.                                                                                                     | CUSIP: 000000000<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $197200.00    | 0.02%             | 2028-09-26      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                  | DP World Ltd/United Arab Emirates                                                                                          | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      390000 | PA      | $348172.50    | 0.04%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                     | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      550000 | PA      | $631089.60    | 0.08%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                           | Veolia Environnement SA                                                                                                    | CUSIP: 000000000<br>LEI: 969500LENY69X51OOT31 | Long             | DBT              | CORP              | FR        |     1300000 | PA      | $1418654.73   | 0.17%             | 2030-01-07      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Portugal Obrigacoes do Tesouro OT                 | Portugal Obrigacoes do Tesouro OT                                                                                          | CUSIP: 000000000<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |     1200000 | PA      | $1355715.22   | 0.16%             | 2029-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                        | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  2598070000 | PA      | $1607552.36   | 0.19%             | 2029-06-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      630000 | PA      | $624958.04    | 0.08%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                                                                   | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      600000 | PA      | $690209.02    | 0.08%             | 2026-12-29      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                                                                        | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     1375000 | PA      | $1441616.85   | 0.17%             | 2029-10-23      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                               | Korea Treasury Bond                                                                                                        | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  2641660000 | PA      | $1586107.92   | 0.19%             | 2029-12-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                     | Netflix, Inc.                                                                                                              | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $2154243.59   | 0.26%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                               | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      509000 | PA      | $577661.38    | 0.07%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                                                            | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      400000 | PA      | $257264.00    | 0.03%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                          | Ireland Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      430000 | PA      | $442602.33    | 0.05%             | 2030-10-18      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                                                              | CUSIP: 000000000<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      948000 | PA      | $1178595.95   | 0.14%             | 2028-06-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  7702000000 | PA      | $450759.77    | 0.05%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     3220000 | PA      | $3320623.60   | 0.40%             | 2031-04-01      | Fixed         | 0.90%                 | No            |                  1 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                                                                      | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1810000 | PA      | $1037130.00   | 0.13%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |      526324 | PA      | $426375.23    | 0.05%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                          | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2252000 | PA      | $2402779.91   | 0.29%             | 2030-02-26      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | Enel SpA                                                                                                                   | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |      523000 | PA      | $584119.55    | 0.07%             | 2027-06-08      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                             | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |      820000 | PA      | $691569.69    | 0.08%             | 2036-06-04      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      650000 | PA      | $559562.70    | 0.07%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                            | Blackstone Property Partners Europe Holdings Sarl                                                                          | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     1050000 | PA      | $1144938.42   | 0.14%             | 2028-05-04      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                               | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $337472.43    | 0.04%             | 2028-05-26      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                            | Asian Development Bank                                                                                                     | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | XX        |     3120000 | PA      | $3116379.32   | 0.38%             | 2031-06-17      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  7391000000 | PA      | $426994.18    | 0.05%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     5400000 | PA      | $6195902.74   | 0.75%             | 2026-08-01      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      840000 | PA      | $482320.54    | 0.06%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Israel Government Bonds - Fixed                   | Israel Government Bonds - Fixed                                                                                            | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2500000 | PA      | $680944.49    | 0.08%             | 2032-04-30      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                                                               | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      700000 | PA      | $778163.45    | 0.09%             | 2032-11-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                                                                     | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      325000 | PA      | $341902.81    | 0.04%             | 2030-01-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Ireland Government Bonds                          | Ireland Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |      920000 | PA      | $900067.96    | 0.11%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                                                               | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      300000 | PA      | $340121.64    | 0.04%             | 2028-01-21      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                              | Colombian TES                                                                                                              | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   890400000 | PA      | $180720.67    | 0.02%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bonds               | Kingdom of Belgium Government Bonds                                                                                        | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1690000 | PA      | $1647095.81   | 0.20%             | 2032-06-22      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                       | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1270000 | PA      | $1370224.37   | 0.17%             | 2028-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVERNMENT BOND                           | Romania Government Bond                                                                                                    | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1375000 | PA      | $303191.14    | 0.04%             | 2032-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                                                                    | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      300000 | PA      | $342295.80    | 0.04%             | 2027-04-26      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                                                                  | CUSIP: 000000000<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     2390000 | PA      | $3135883.47   | 0.38%             | 2026-09-15      | Fixed         | 2.25%                 | No            |                  1 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   245900000 | PA      | $1391948.48   | 0.17%             | 2032-06-20      | Fixed         | 0.20%                 | No            |                  1 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     6350000 | PA      | $197166.73    | 0.02%             | 2028-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |     9116000 | PA      | $284812.81    | 0.03%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     2100000 | PA      | $2515153.20   | 0.30%             | 2030-09-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REGION WALLONNE                                   | Region Wallonne Belgium                                                                                                    | CUSIP: 000000000<br>LEI: 529900HPQFHMCG25MZ72 | Long             | DBT              | NUSS              | BE        |     1300000 | PA      | $1331548.70   | 0.16%             | 2038-01-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |       70000 | PA      | $2316.65      | 0.00%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | European Investment Bank                                                                                                   | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |     4410000 | PA      | $4989695.48   | 0.60%             | 2030-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  5281000000 | PA      | $315615.58    | 0.04%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                                                                         | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1843900000 | PA      | $7227232.88   | 0.88%             | 2052-09-20      | Fixed         | 1.40%                 | No            |                  1 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                         | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   903000000 | PA      | $4269172.11   | 0.52%             | 2042-09-20      | Fixed         | 1.10%                 | No            |                  1 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                                                                  | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |      400000 | PA      | $484051.58    | 0.06%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds            | Hungary Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     2040000 | PA      | $2086879.20   | 0.25%             | 2028-05-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1370000 | PA      | $1607505.05   | 0.19%             | 2043-09-01      | Fixed         | 4.45%                 | No            |                  1 | On Loan: No      |
| Saudi Government International Bonds              | Saudi Government International Bonds                                                                                       | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      830000 | PA      | $819525.40    | 0.10%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      357000 | PA      | $410422.66    | 0.05%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| RELX FINANCE BV                                   | RELX Finance BV                                                                                                            | CUSIP: 000000000<br>LEI: 54930086P8MBY4IN4E29 | Long             | DBT              | CORP              | NL        |      437000 | PA      | $507970.50    | 0.06%             | 2031-06-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PERMANENT TSB GROUP                               | Permanent TSB Group Holdings PLC                                                                                           | CUSIP: 000000000<br>LEI: 635400DTNHVYGZODKQ93 | Long             | DBT              | CORP              | IE        |     1020000 | PA      | $1252581.94   | 0.15%             | 2029-06-30      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                               | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1671000 | PA      | $2004394.98   | 0.24%             | 2030-08-08      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                            | Skandinaviska Enskilda Banken AB                                                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     1325000 | PA      | $1578671.79   | 0.19%             | 2033-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KFW                                               | Kreditanstalt fuer Wiederaufbau                                                                                            | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     3500000 | PA      | $4079012.77   | 0.49%             | 2028-10-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     7350000 | PA      | $8498132.72   | 1.03%             | 2033-11-25      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| THAILAND GOVERNMENT BOND                          | Thailand Government Bond                                                                                                   | CUSIP: 000000000<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    17150000 | PA      | $584129.62    | 0.07%             | 2055-06-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                                                                                    | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     1310000 | PA      | $1559634.13   | 0.19%             | 2029-01-19      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GR                          | Motability Operations Group PLC                                                                                            | CUSIP: 000000000<br>LEI: AZ3NL8JCZDCNUXFWI720 | Long             | DBT              | CORP              | GB        |     1247000 | PA      | $1441547.01   | 0.17%             | 2029-07-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds            | Romania Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       70000 | PA      | $69580.00     | 0.01%             | 2034-01-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                               | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      709181 | PA      | $788213.88    | 0.10%             | 2034-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                              | Booking Holdings Inc                                                                                                       | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      729000 | PA      | $846288.61    | 0.10%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KFW                                               | Kreditanstalt fuer Wiederaufbau                                                                                            | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     4070000 | PA      | $4681259.28   | 0.57%             | 2029-04-26      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                                                                         | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1167350000 | PA      | $5798023.45   | 0.70%             | 2044-03-20      | Fixed         | 1.60%                 | No            |                  1 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                                                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   292700000 | PA      | $1280757.30   | 0.16%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  1 | On Loan: No      |
| BONOS DE TESORERIA                                | Peru Government Bond                                                                                                       | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      500000 | PA      | $148745.65    | 0.02%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                              | Indonesia Treasury Bond                                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10285000000 | PA      | $603171.84    | 0.07%             | 2030-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                             | Traton Finance Luxembourg SA                                                                                               | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |     1000000 | PA      | $1150567.98   | 0.14%             | 2028-01-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                           | Australia & New Zealand Banking Group Ltd                                                                                  | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |      715000 | PA      | $816515.71    | 0.10%             | 2035-07-31      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                     | Ares European CLO XXI DAC                                                                                                  | CUSIP: 000000000<br>LEI: 254900REPQKNP1XRDH75 | Long             | ABS-CBDO         | CORP              | IE        |      540000 | PA      | $618934.91    | 0.08%             | 2038-04-15      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      790000 | PA      | $639619.20    | 0.08%             | 2035-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund III DAC                                                                                             | CUSIP: 000000000<br>LEI: 213800XV458LVR3TU384 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1603427.56   | 0.19%             | 2038-05-26      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Penta CLO                                         | Penta CLO 2021-2 DAC                                                                                                       | CUSIP: 000000000<br>LEI: 635400GBGDCFEEAL3O62 | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1493017.16   | 0.18%             | 2038-04-15      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Japan Government Five Year Bonds                  | Japan Government Five Year Bonds                                                                                           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   958350000 | PA      | $5923044.42   | 0.72%             | 2029-12-20      | Fixed         | 1.10%                 | No            |                  1 | On Loan: No      |
| Japan Government Ten Year Bonds                   | Japan Government Ten Year Bonds                                                                                            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   768800000 | PA      | $4513396.86   | 0.55%             | 2035-03-20      | Fixed         | 1.40%                 | No            |                  1 | On Loan: No      |
| FRENCH DISCOUNT T-BILL                            | France Treasury Bill BTF                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | STIV             | NUSS              | FR        |    31738767 | PA      | $36644907.05  | 4.44%             | 2026-04-22      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    26320000 | PA      | $3477190.45   | 0.42%             | 2055-04-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| PFIZER NETHERLANDS INTL                           | Pfizer Netherlands International Finance BV                                                                                | CUSIP: 000000000<br>LEI: 254900YI79T8NMNA4349 | Long             | DBT              | CORP              | NL        |     1031000 | PA      | $1176892.81   | 0.14%             | 2029-05-19      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                                                                | CUSIP: 000000000<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1029508.86   | 0.12%             | 2028-05-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    23780000 | PA      | $3268358.71   | 0.40%             | 2045-04-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                             | China Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    58720000 | PA      | $8425075.50   | 1.02%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                                                          | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   249100000 | PA      | $1372518.16   | 0.17%             | 2065-03-20      | Fixed         | 3.10%                 | No            |                  1 | On Loan: No      |
| FRENCH DISCOUNT T-BILL                            | France Treasury Bill BTF                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | STIV             | NUSS              | FR        |    33010000 | PA      | $37982538.46  | 4.60%             | 2026-06-17      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Aurium CLO                                        | Aurium Clo VIII DAC                                                                                                        | CUSIP: 000000000<br>LEI: 549300FEAY35HPC4RS38 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1592606.72   | 0.19%             | 2038-10-16      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Bridgepoint CLO                                   | Bridgepoint Clo IX DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400KHJOULRBQMED20 | Long             | ABS-CBDO         | CORP              | IE        |     1125000 | PA      | $1298642.37   | 0.16%             | 2039-10-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo VII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400HLOZDFMPWGCW53 | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1604647.67   | 0.19%             | 2039-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1130000 | PA      | $1269382.91   | 0.15%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                              | CUSIP: 000000000<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1418000 | PA      | $1603740.82   | 0.19%             | 2030-10-22      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FRENCH DISCOUNT T-BILL                            | France Treasury Bill BTF                                                                                                   | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | STIV             | NUSS              | FR        |    46748349 | PA      | $53932505.40  | 6.54%             | 2026-05-06      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| BMS IRELAND CAP FUNDING                           | BMS Ireland Capital Funding DAC                                                                                            | CUSIP: 000000000<br>LEI: 9845002AC2D55DFID596 | Long             | DBT              | CORP              | IE        |     1200000 | PA      | $1358863.75   | 0.16%             | 2030-11-10      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1250000 | PA      | $1386124.48   | 0.17%             | 2034-03-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      610000 | PA      | $657917.17    | 0.08%             | 2033-03-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Arini European CLO                                | Arini European Clo IX DAC                                                                                                  | CUSIP: 000000000<br>LEI: 635400TNJSU8PGVNSX11 | Long             | ABS-CBDO         | CORP              | IE        |      600000 | PA      | $693510.13    | 0.08%             | 2040-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | 3 MONTH SOFR FUT MAR26                                                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         -35 | NC      | $-81.20       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | ICE 3MTH SONIA FU DEC26                                                                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         215 | NC      | $-557855.50   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE JUN26                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         174 | NC      | $-425155.02   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE JUN26                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         255 | NC      | $-802581.53   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE JUN26                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           9 | NC      | $-15722.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE JUN26                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          14 | NC      | $-63051.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT JUN26                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         268 | NC      | $-86114.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          67 | NC      | $-135622.62   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         280 | NC      | $-710230.64   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          84 | NC      | $-160647.59   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         507 | NC      | $-816295.30   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          44 | NC      | $-26252.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal          | CAN 10YR BOND FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |         239 | NC      | $-362954.94   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         483 | NC      | $-281587.22   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          12 | NC      | $-18489.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE JUN26                                                                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         106 | NC      | $-623130.13   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -114 | NC      | $193095.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          94 | NC      | $-25014.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) JUN26                                                                                                    | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          10 | NC      | $-90601.49    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | OPS08399A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     5680000 | NC      | $143.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08400A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1690000 | NC      | $-3422.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS08401A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     5740000 | NC      | $7654.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09382A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    -1726803 | NC      | $-196.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09418A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     -700000 | NC      | $-352.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | OPS09417A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |     2980000 | NC      | $200.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09936A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |    10010000 | NC      | $3504.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS09937A SWAPTION GBP OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | GB        |    -2330000 | NC      | $-3926.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | OPS10180A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        |  2630000002 | NC      | $123347.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | OPS10181A SWAPTION JPY OTC                                                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | JP        |  2629999999 | NC      | $71445.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS10293A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5560000 | NC      | $-3.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                            | OPS10292A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |    -5560000 | NC      | $-179837.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS10312A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -5380000 | NC      | $-68696.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | OPS10311A SWAPTION EUR OTC                                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |    -5380000 | NC      | $-15901.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS10320A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5810000 | NC      | $-16900.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | OPS10319A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    -5810000 | NC      | $-74973.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS10331A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -3870000 | NC      | $-28631.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | OPS10332A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -3870000 | NC      | $-29148.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | OPS10342A SWAPTION EUR OTC APR26 3.117 PUT                                                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |    -3550000 | NC      | $-25423.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | OPS10341A SWAPTION EUR OTC APR26 3.117 CALL                                                                                | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DIR              |  | DE        |    -3550000 | NC      | $-41529.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | OPS10349A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    -3860000 | NC      | $-31196.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | OPS10351A SWAPTION USD OTC                                                                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    -3860000 | NC      | $-34437.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                               | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      838544 | PA      | $1011315.29   | 0.12%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| French Republic Government Bonds OAT              | French Republic Government Bonds OAT                                                                                       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     1030000 | PA      | $1244754.17   | 0.15%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  1 | On Loan: No      |
| Singapore Government Bonds                        | Singapore Government Bonds                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     1320000 | PA      | $1110188.07   | 0.13%             | 2033-09-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3330000 | PA      | $3024003.10   | 0.37%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      220000 | PA      | $129927.00    | 0.02%             | 2057-07-22      | Fixed         | 1.75%                 | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      100000 | PA      | $80565.07     | 0.01%             | 2067-03-01      | Fixed         | 2.80%                 | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                                                               | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      750000 | PA      | $863394.11    | 0.10%             | 2027-06-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| EFSF                                              | European Financial Stability Facility                                                                                      | CUSIP: 000000000<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | NUSS              | LU        |     1170000 | PA      | $1095493.92   | 0.13%             | 2035-04-10      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PERMANENT TSB GROUP                               | Permanent TSB Group Holdings PLC                                                                                           | CUSIP: 000000000<br>LEI: 635400DTNHVYGZODKQ93 | Long             | DBT              | CORP              | IE        |      265000 | PA      | $316147.86    | 0.04%             | 2028-04-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| TEOLLISUUDEN VOIMA OYJ                            | Teollisuuden Voima Oyj                                                                                                     | CUSIP: 000000000<br>LEI: 743700LQ48IZBTZN4S52 | Long             | DBT              | CORP              | FI        |      250000 | PA      | $275378.43    | 0.03%             | 2028-06-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Republic of Austria Government Bonds              | Republic of Austria Government Bonds                                                                                       | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      280000 | PA      | $100628.78    | 0.01%             | 2120-06-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                              | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |      805000 | PA      | $930245.42    | 0.11%             | 2031-05-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      870000 | PA      | $934524.67    | 0.11%             | 2030-10-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                               | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      673445 | PA      | $532800.29    | 0.06%             | 2038-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                                                                 | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1990000 | PA      | $2034500.84   | 0.25%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                          | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1750000 | PA      | $1889924.92   | 0.23%             | 2029-09-14      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                                                             | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     6632868 | PA      | $7337934.72   | 0.89%             | 2029-12-04      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1130000 | PA      | $1211744.25   | 0.15%             | 2038-03-01      | Fixed         | 3.25%                 | No            |                  1 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                 | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1170000 | PA      | $867502.12    | 0.11%             | 2052-09-01      | Fixed         | 2.15%                 | No            |                  1 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     3430000 | PA      | $3829057.38   | 0.46%             | 2032-10-31      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Netherlands Government Bonds                      | Netherlands Government Bonds                                                                                               | CUSIP: 000000000<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |      687236 | PA      | $589115.72    | 0.07%             | 2054-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Finland Government Bonds                          | Finland Government Bonds                                                                                                   | CUSIP: 000000000<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |     1190000 | PA      | $1248630.43   | 0.15%             | 2032-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Spain Government Bonds                            | Spain Government Bonds                                                                                                     | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     1110000 | PA      | $1110033.36   | 0.13%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | European Investment Bank                                                                                                   | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |     1240000 | PA      | $1387103.49   | 0.17%             | 2028-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                            | Mexico City Airport Trust                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      200000 | PA      | $166180.00    | 0.02%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Allison Fracchiolla

**Name of Signer:** Allison Fracchiolla

**Title:** Vice President