# EDGAR Filing Document

**Accession Number:** 0000830622
**File Stem:** 0000869392-23-000362
**Filing Date:** 2023-2
**Character Count:** 762220
**Document Hash:** e4d1805e04640fb77c6a648eb55959ff
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000362.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000869392-23-000362

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM MASTER INTERMEDIATE INCOME TRUST
- **CENTRAL INDEX KEY:** 0000830622
- **IRS NUMBER:** 046584465
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05498
- **FILM NUMBER:** 23666287

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

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

## Nport-Ex

------

---

| |
|:---|
| **Putnam Master Intermediate Income Trust** |
| **The fund's portfolio** |
| **12/31/22 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (60.7%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (60.7%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (60.7%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (7.4%)** | **U.S. Government Guaranteed Mortgage Obligations (7.4%)** | **U.S. Government Guaranteed Mortgage Obligations (7.4%)** |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 5/20/49 | $33823 | $34413 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 5/20/49 to 3/20/50 | 130080 | 129769 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 5000000 | 4851607 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 1/1/53 | 4000000 | 3786688 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, with due dates from 9/20/49 to 3/20/50 | 754886 | 696842 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 1/1/53 | 4000000 | 3562706 |
|  |  | **13062025** |
| **U.S. Government Agency Mortgage Obligations (53.3%)** | **U.S. Government Agency Mortgage Obligations (53.3%)** | **U.S. Government Agency Mortgage Obligations (53.3%)** |
| Federal National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, with due dates from 1/1/49 to 8/1/49 | 60407 | 59768 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, 5/1/49 | 8416 | 8233 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 1/1/53 | 9000000 | 9139223 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 1/1/53 | 32000000 | 32095014 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 1/1/53 | 30000000 | 29582826 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 21000000 | 20242030 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 1/1/53 | 4000000 | 3637810 |
|  |  | **94764904** |
| **Total U.S. government and agency mortgage obligations (cost $108,759,673)** | **Total U.S. government and agency mortgage obligations (cost $108,759,673)** | **$107826929** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.25%, 8/31/24***<sup>(i)</sup>*** | $289000 | $286275 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.50%, 2/15/30***<sup>(i)</sup>*** | 671000 | 575644 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.375%, 1/31/26***<sup>(i)</sup>*** | 171000 | 152417 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625%, 5/15/31***<sup>(i)</sup>*** | 183000 | 154284 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.875%, 2/28/27***<sup>(i)</sup>*** | 143000 | 132013 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 3/15/25***<sup>(i)</sup>*** | 128000 | 121646 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.625%, 5/31/27***<sup>(i)</sup>*** | 118000 | 111501 |
| **Total U.S. treasury obligations (cost $1,533,780)** |  | **$1533780** |

---

------

---

| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (39.2%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (39.2%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (39.2%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Agency collateralized mortgage obligations (14.5%)** | **Agency collateralized mortgage obligations (14.5%)** | **Agency collateralized mortgage obligations (14.5%)** |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4813, IO, 5.50%, 8/15/48 | $1116907 | $223305 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 466416 | 91324 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 | 2707767 | 478586 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 | 2015419 | 431617 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 3607808 | 765656 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 | 2656088 | 563280 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 326275 | 64447 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 177722 | 26893 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 | 3931008 | 727606 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 618099 | 112684 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 715337 | 112301 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 777223 | 161739 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 492937 | 73297 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 820977 | 107532 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 472075 | 61389 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 266039 | 20878 |
| &nbsp;&nbsp;&nbsp;&nbsp;Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 180134 | 7033 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 1199994 | 95263 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 476836 | 32949 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 71422 | 709 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3852, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.65%), 2.332%, 4/15/40 | 381713 | 9096 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4742, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.882%, 12/15/47 | 688654 | 71970 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 5011, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 9/25/50 | 4094963 | 453476 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4839, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.782%, 8/15/56 | 2379424 | 273443 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4678, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.782%, 4/15/47 | 473764 | 55602 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 7/25/50 | 3727486 | 418703 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4945, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 1/25/50 | 2628435 | 243548 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.395%, 7/25/43***<sup>(WAC)</sup>*** | 798868 | 7989 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 1070577 | 189282 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 | 841112 | 158248 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 37874 | 6305 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 1314992 | 213634 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 112161 | 17372 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 | 3973986 | 731800 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 141897 | 27690 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 225969 | 15195 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 1304588 | 230874 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 398601 | 53421 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 300108 | 38291 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 221828 | 26221 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 196214 | 7250 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 27447 | 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 | 7110924 | 922705 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.40%), 2.011%, 4/25/40 | 307565 | 32819 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 3/25/48 | 1615023 | 149874 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.811%, 6/25/48 | 2721399 | 293018 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 5/25/47 | 3380052 | 304745 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 10/25/41 | 53713 | 382 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 12/25/46 | 1397033 | 104803 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 5/25/39 | 4292556 | 341366 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 3/25/50 | 2316859 | 237478 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 8/25/49 | 1487281 | 114640 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 19-61, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 11/25/49 | 2981051 | 314885 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-107, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.561%, 2/25/43 | 963418 | 101527 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.90%), 1.511%, 10/25/41 | 688953 | 58858 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 | 375224 | 72947 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-42, IO, 5.00%, 2/20/46 | 928002 | 176431 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 1407366 | 214891 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 1631888 | 332644 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-76, IO, 5.00%, 5/20/44 | 378680 | 75903 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 276211 | 58785 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-146, IO, 5.00%, 12/20/42 | 246829 | 48719 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 360694 | 74824 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 261862 | 53305 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 1156001 | 242044 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 595024 | 123819 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 1194598 | 237821 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 203396 | 40155 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 1066173 | 203050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 403227 | 76597 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 499512 | 92228 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 64570 | 3571 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 444644 | 87669 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 462034 | 80266 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 815440 | 147415 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 420983 | 79944 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 488026 | 86952 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 311015 | 55376 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-29, IO, 4.00%, 2/16/46 | 423644 | 72045 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 1152045 | 189189 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 884407 | 160152 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 744049 | 123859 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 678857 | 82393 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 1901783 | 286637 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 509233 | 22028 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 249932 | 41837 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 566574 | 37786 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 218351 | 34152 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 204200 | 35007 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-156, IO, 3.50%, 7/20/51 | 4434179 | 759221 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 2643486 | 480941 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 | 32931 | 1099 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 422917 | 50686 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-28, IO, 3.50%, 2/20/43 | 147305 | 18004 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 231066 | 25688 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 364376 | 41874 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-14, IO, 3.50%, 12/20/42 | 908740 | 96272 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 955839 | 157259 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 940740 | 148773 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 457591 | 74851 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 583314 | 42693 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 | 3758293 | 547283 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 | 2989503 | 466170 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H02, Class EI, IO, 2.678%, 1/20/68***<sup>(WAC)</sup>*** | 3673989 | 186788 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H02, Class BI, IO, 2.674%, 1/20/67***<sup>(WAC)</sup>*** | 1760480 | 54054 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H06, Class BI, IO, 2.474%, 2/20/67***<sup>(WAC)</sup>*** | 2592874 | 91862 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H05, Class BI, IO, 2.473%, 2/20/68***<sup>(WAC)</sup>*** | 2637839 | 139124 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H03, Class XI, IO, 2.281%, 2/20/68***<sup>(WAC)</sup>*** | 2833747 | 140446 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H05, Class AI, IO, 2.101%, 2/20/68***<sup>(WAC)</sup>*** | 1364193 | 75115 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H08, Class NI, IO, 2.097%, 3/20/67***<sup>(WAC)</sup>*** | 3384608 | 139872 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H19, Class MI, IO, 2.067%, 4/20/67***<sup>(WAC)</sup>*** | 1180860 | 67663 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H03, Class DI, IO, 2.037%, 12/20/65***<sup>(WAC)</sup>*** | 2692600 | 123042 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 21-98, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 6/20/51 | 3625412 | 422578 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 5/20/51 | 3377040 | 403135 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 21-59, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 4/20/51 | 2341928 | 241458 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 9/20/50 | 3187917 | 407110 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-116, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.874%, 11/20/47 | 3334273 | 457383 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 14-60, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.18%), 1.827%, 4/20/44 | 1804824 | 182529 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class EI, IO, 1.826%, 10/20/65***<sup>(WAC)</sup>*** | 1895150 | 86229 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-97, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 7/20/50 | 2094813 | 272146 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-5, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 1/20/49 | 1731882 | 158390 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 9/20/43 | 192691 | 17681 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H20, Class AI, IO, 1.766%, 8/20/65***<sup>(WAC)</sup>*** | 2540792 | 108492 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H09, IO, 1.762%, 4/20/67***<sup>(WAC)</sup>*** | 3337487 | 99377 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-63, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 5/20/50 | 2258112 | 230932 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-63, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 4/20/50 | 2923530 | 332745 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-96, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 8/20/49 | 2250610 | 218827 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-83, Class SY, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 7/20/49 | 2039867 | 186933 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-89, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 7/20/49 | 2767359 | 238877 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-H08, Class CI, IO, 1.74%, 3/20/65***<sup>(WAC)</sup>*** | 1425660 | 59022 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 2/20/50 | 193802 | 13534 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-7, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 1/20/50 | 1686436 | 162466 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-152, Class ES, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 12/20/49 | 1438735 | 130458 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 9/20/49 | 2216440 | 222908 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 8/20/49 | 96485 | 8332 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 6/20/49 | 102756 | 7497 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H23, Class BI, IO, 1.696%, 9/20/65***<sup>(WAC)</sup>*** | 2517668 | 97434 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-63, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 8/20/43 | 2424308 | 220345 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H16, Class EI, IO, 1.64%, 6/20/66***<sup>(WAC)</sup>*** | 2669800 | 113467 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H24, Class CI, IO, 1.63%, 10/20/66***<sup>(WAC)</sup>*** | 1761847 | 75583 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H14, IO, 1.613%, 6/20/66***<sup>(WAC)</sup>*** | 2290871 | 81241 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H11, Class DI, IO, 1.591%, 5/20/67***<sup>(WAC)</sup>*** | 2255370 | 115222 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-H08, Class CI, IO, 1.534%, 2/20/63***<sup>(WAC)</sup>*** | 1525641 | 47600 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H21, Class BI, IO, 1.47%, 10/20/64***<sup>(WAC)</sup>*** | 3486207 | 119577 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H12, Class QI, IO, 1.437%, 5/20/67***<sup>(WAC)</sup>*** | 2127043 | 79613 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.247%, 8/20/44 | 833142 | 65683 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H22, Class AI, IO, 1.102%, 10/20/66***<sup>(WAC)</sup>*** | 2421021 | 84346 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H23, Class NI, IO, 1.057%, 10/20/66***<sup>(WAC)</sup>*** | 6607521 | 218048 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H20, Class CI, IO, 0.799%, 8/20/65***<sup>(WAC)</sup>*** | 2888370 | 152217 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H16, Class FI, IO, 0.746%, 8/20/67***<sup>(WAC)</sup>*** | 1927054 | 74227 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H17, Class KI, IO, 0.689%, 7/20/66***<sup>(WAC)</sup>*** | 1562840 | 63081 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H24, Class AI, IO, 0.623%, 9/20/65***<sup>(WAC)</sup>*** | 2225162 | 63519 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H15, Class BI, IO, 0.573%, 6/20/65***<sup>(WAC)</sup>*** | 1638839 | 60965 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H16, Class JI, IO, 0.492%, 8/20/67***<sup>(WAC)</sup>*** | 5696159 | 306891 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H06, Class DI, IO, 0.362%, 7/20/65***<sup>(WAC)</sup>*** | 3496569 | 72236 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H15, Class KI, IO, 0.291%, 8/20/68***<sup>(WAC)</sup>*** | 2251656 | 102755 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H16, Class IG, IO, 0.118%, 7/20/67***<sup>(WAC)</sup>*** | 5253755 | 150812 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66***<sup>(WAC)</sup>*** | 1804876 | 84046 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H09, Class BI, IO, 0.067%, 4/20/66***<sup>(WAC)</sup>*** | 3194087 | 151400 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H10, Class BI, IO, 0.03%, 4/20/65***<sup>(WAC)</sup>*** | 1775252 | 68525 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H03, Class AI, IO, 0.021%, 1/20/66***<sup>(WAC)</sup>*** | 2119435 | 69235 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H02, Class HI, IO, 0.017%, 1/20/66***<sup>(WAC)</sup>*** | 3046599 | 75556 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H06, Class CI, IO, 0.001%, 2/20/66***<sup>(WAC)</sup>*** | 3219039 | 56620 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H10, Class AI, IO, zero %, 4/20/66***<sup>(WAC)</sup>*** | 5965514 | 114228 |
|  |  | **25717789** |
| **Commercial mortgage-backed securities (12.9%)** | **Commercial mortgage-backed securities (12.9%)** | **Commercial mortgage-backed securities (12.9%)** |
| Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 | 359000 | 242147 |
| Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45***<sup>(WAC)</sup>*** | 11854 | 11439 |
| Benchmark Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-B3, Class D, 3.036%, 4/10/51***<sup>(WAC)</sup>*** | 414000 | 276913 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-B13, Class D, 2.50%, 8/15/57 | 320000 | 224000 |
| BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44***<sup>(WAC)</sup>*** | 590000 | 388976 |
| CD Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 591000 | 416728 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-CD8, Class D, 3.00%, 8/15/57 | 277000 | 179302 |
| CFCRE Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class F, 5.25%, 12/15/47***<sup>(WAC)</sup>*** | 1025000 | 1020798 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C2, Class E, 5.08%, 12/15/47***<sup>(WAC)</sup>*** | 409000 | 342853 |
| Citigroup Commercial Mortgage Trust Ser. 13-GC11, Class C, 4.134%, 4/10/46***<sup>(WAC)</sup>*** | 350000 | 343732 |
| Citigroup Commercial Mortgage Trust 144A Ser. 15-P1, Class D, 3.225%, 9/15/48 | 671000 | 549156 |
| COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.917%, 4/10/47***<sup>(WAC)</sup>*** | 441000 | 399134 |
| COMM Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class E, 4.845%, 5/10/47***<sup>(WAC)</sup>*** | 758000 | 519048 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS3, Class D, 4.766%, 6/10/47***<sup>(WAC)</sup>*** | 144000 | 129235 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR7, Class D, 4.366%, 3/10/46***<sup>(WAC)</sup>*** | 233000 | 209118 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 392000 | 130144 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC19, Class E, 4.215%, 2/10/48***<sup>(WAC)</sup>*** | 385000 | 319272 |
| Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 7.479%, 9/9/24 | 252000 | 251213 |
| CSAIL Commercial Mortgage Trust FRB Ser. 20-C19, Class C, 3.614%, 3/15/53***<sup>(WAC)</sup>*** | 256000 | 191363 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.758%, 4/15/50***<sup>(WAC)</sup>*** | 527000 | 353441 |
| Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 7.928%, 11/25/51 | 701000 | 615249 |
| GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.339%, 2/10/46***<sup>(WAC)</sup>*** | 638000 | 634772 |
| GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47***<sup>(WAC)</sup>*** | 294000 | 269153 |
| GS Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47***<sup>(WAC)</sup>*** | 1285000 | 837728 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC13, Class D, 4.078%, 7/10/46***<sup>(WAC)</sup>*** | 531000 | 243903 |
| JPMBB Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C18, Class D, 4.735%, 2/15/47***<sup>(WAC)</sup>*** | 963000 | 672065 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C19, Class C19, 4.647%, 4/15/47***<sup>(WAC)</sup>*** | 266000 | 242657 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. C14, Class D, 4.548%, 8/15/46***<sup>(WAC)</sup>*** | 515000 | 280206 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C18, Class E, 4.235%, 2/15/47***<sup>(WAC)</sup>*** | 407000 | 226377 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C23, Class D, 3.982%, 9/15/47***<sup>(WAC)</sup>*** | 505000 | 429313 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C25, Class D, 3.936%, 11/15/47***<sup>(WAC)</sup>*** | 200000 | 135496 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C14, Class F, 3.598%, 8/15/46***<sup>(WAC)</sup>*** | 1500000 | 165383 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C25, Class E, 3.332%, 11/15/47***<sup>(WAC)</sup>*** | 788000 | 474352 |
| JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.384%, 9/15/50***<sup>(WAC)</sup>*** | 268000 | 215485 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class D, 4.231%, 4/15/46***<sup>(WAC)</sup>*** | 581000 | 418935 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 221000 | 187585 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class F, 5.525%, 2/15/46***<sup>(WAC)</sup>*** | 410000 | 73083 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C6, Class E, 4.964%, 5/15/45***<sup>(WAC)</sup>*** | 263000 | 202273 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46***<sup>(WAC)</sup>*** | 841000 | 520074 |
| LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39***<sup>(WAC)</sup>*** | 462989 | 61 |
| Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.571%, 12/15/49***<sup>(WAC)</sup>*** | 13487 |  |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-C6, Class C, 4.536%, 11/15/45***<sup>(WAC)</sup>*** | 330000 | 314015 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C25, Class C, 4.526%, 10/15/48***<sup>(WAC)</sup>*** | 253000 | 228520 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C22, Class C, 4.202%, 4/15/48***<sup>(WAC)</sup>*** | 237000 | 212595 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C19, Class C, 4.00%, 12/15/47 | 211000 | 190020 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class D, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 900000 | 62768 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C11, Class F, 4.398%, 8/15/46***<sup>(WAC)</sup>*** | 496000 | 4960 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C23, Class D, 4.142%, 7/15/50***<sup>(WAC)</sup>*** | 690000 | 583094 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C9, Class D, 4.102%, 5/15/46***<sup>(WAC)</sup>*** | 676000 | 593853 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class D, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 485000 | 319887 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class E, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 1006000 | 344454 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class F, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 975000 | 205018 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C17, Class E, 3.50%, 8/15/47 | 443000 | 318686 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C19, Class D, 3.25%, 12/15/47 | 602000 | 519943 |
| Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 06-HQ10, Class B, 5.448%, 11/12/41***<sup>(WAC)</sup>*** | 168221 | 154987 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-H3, Class C, 4.863%, 7/15/51***<sup>(WAC)</sup>*** | 284000 | 247898 |
| Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.164%, 3/15/45***<sup>(WAC)</sup>*** | 184652 | 170803 |
| Multifamily Connecticut Avenue Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-01, Class M10, 8.139%, 3/25/50 | 701000 | 647404 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-01, Class M10, 7.639%, 10/25/49 | 567863 | 533158 |
| Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.79%, 6/25/37 | 445749 | 442810 |
| RIAL Issuer, Ltd. 144A FRB Ser. 22-FL8, Class B, 7.575%, 1/19/37 | 504000 | 487620 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)***<sup>(NON)</sup>*** | 558952 | 6 |
| UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.391%, 8/15/50***<sup>(WAC)</sup>*** | 319000 | 256029 |
| UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63***<sup>(WAC)</sup>*** | 622000 | 6 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-NXS5, Class D, 4.982%, 1/15/59***<sup>(WAC)</sup>*** | 455000 | 378198 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48***<sup>(WAC)</sup>*** | 225000 | 196924 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C29, Class D, 4.218%, 6/15/48***<sup>(WAC)</sup>*** | 339000 | 287573 |
| Wells Fargo Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C30, Class D, 4.498%, 9/15/58***<sup>(WAC)</sup>*** | 244000 | 204567 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46***<sup>(WAC)</sup>*** | 188000 | 75902 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 889000 | 142650 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-C33, Class D, 3.123%, 3/15/59 | 745000 | 585866 |
| WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47***<sup>(WAC)</sup>*** | 250000 | 215730 |
| WF-RBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-UBS1, Class D, 5.024%, 3/15/46***<sup>(WAC)</sup>*** | 226000 | 216506 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-UBS1, Class E, 5.024%, 3/15/46***<sup>(WAC)</sup>*** | 303000 | 287317 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-C12, Class E, 3.50%, 3/15/48 | 196000 | 187670 |
|  |  | **22959599** |
| **Residential mortgage-backed securities (non-agency) (11.8%)** | **Residential mortgage-backed securities (non-agency) (11.8%)** | **Residential mortgage-backed securities (non-agency) (11.8%)** |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | 380457 | 207378 |
| BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.991%, 11/27/36***<sup>(WAC)</sup>*** | 538924 | 350301 |
| Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 4.889%, 1/25/36 | 53395 | 68275 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (ICE LIBOR USD 1 Month + 0.18%), 4.569%, 11/25/47 | 187198 | 153073 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (ICE LIBOR USD 1 Month + 0.35%), 4.739%, 3/25/37 | 736571 | 604854 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65***<sup>(WAC)</sup>*** | 1000000 | 885445 |
| Countrywide Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-38, Class A3, (ICE LIBOR USD 1 Month + 0.70%), 5.089%, 9/25/35 | 266823 | 226335 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.013%, 11/20/35 | 279602 | 244260 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 3A1, (ICE LIBOR USD 1 Month + 0.38%), 4.769%, 8/25/46 | 239693 | 201851 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 4.769%, 8/25/46 | 1595140 | 1259839 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 3.548%, 9/25/35 | 216838 | 190140 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 3.008%, 8/25/46 | 82360 | 71515 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 2.988%, 6/25/46 | 224352 | 183158 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-OA7, Class 1A1, 2.746%, 6/25/46***<sup>(WAC)</sup>*** | 245879 | 220480 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 5/25/28 | 266288 | 276401 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/28 | 886784 | 927409 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 13.739%, 4/25/28 | 569651 | 584813 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (ICE LIBOR USD 1 Month + 9.20%), 13.589%, 10/25/27 | 394996 | 409447 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 13.189%, 3/25/28 | 384861 | 385050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (ICE LIBOR USD 1 Month + 7.55%), 11.939%, 12/25/27 | 647588 | 646739 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 15.639%, 4/25/49 | 106000 | 111529 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 15.428%, 10/25/50 | 176000 | 193600 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 15.389%, 10/25/48 | 649000 | 701390 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/49 | 141000 | 152828 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 3/25/49 | 118000 | 126403 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 8/25/50 | 609000 | 661526 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/50 | 430000 | 465475 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (ICE LIBOR USD 1 Month + 7.75%), 12.139%, 9/25/48 | 174000 | 172488 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.139%, 7/25/50 | 172048 | 177178 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 10/25/48 | 380000 | 388933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (ICE LIBOR USD 1 Month + 3.90%), 8.289%, 9/25/48 | 190000 | 193529 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.089%, 12/25/30 | 260000 | 260346 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 7.489%, 3/25/50 | 152601 | 154160 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58***<sup>(WAC)</sup>*** | 307000 | 261861 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59***<sup>(WAC)</sup>*** | 636000 | 541026 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.139%, 10/25/28 | 89473 | 96986 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 16.639%, 9/25/28 | 1109479 | 1224023 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 10/25/28 | 565593 | 613131 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 8/25/28 | 366243 | 396151 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/29 | 119531 | 124796 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 13.639%, 4/25/29 | 19823 | 19923 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 9.889%, 9/25/29 | 285000 | 309102 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (ICE LIBOR USD 1 Month + 4.85%), 9.239%, 10/25/29 | 1170000 | 1232631 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (ICE LIBOR USD 1 Month + 4.50%), 8.889%, 12/25/30 | 283000 | 293873 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 5/25/30 | 82000 | 84391 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 2/25/30 | 60000 | 61538 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.389%, 5/25/25 | 4650 | 4781 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 7.989%, 1/25/30 | 182000 | 184116 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (ICE LIBOR USD 1 Month + 4.10%), 8.489%, 9/25/31 | 556000 | 564734 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 8.428%, 1/25/42 | 180000 | 170100 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 8.039%, 2/25/40 | 504000 | 497768 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.839%, 7/25/31 | 6751 | 6734 |
| GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (ICE LIBOR USD 1 Month + 0.36%), 4.749%, 5/25/36 | 478393 | 119454 |
| GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (ICE LIBOR USD 1 Month + 0.31%), 4.699%, 5/25/37 | 201499 | 144622 |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.859%, 5/19/35 | 244204 | 82245 |
| Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.078%, 1/25/34 (Bermuda) | 150000 | 125889 |
| JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (ICE LIBOR USD 1 Month + 0.20%), 4.789%, 6/25/37 | 424589 | 178096 |
| LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 2/25/26***<sup>(WAC)</sup>*** | 133000 | 126350 |
| Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (ICE LIBOR USD 1 Month + 0.23%), 2.702%, 2/26/37 | 206717 | 176256 |
| MortgageIT Trust FRB Ser. 05-3, Class M2, (ICE LIBOR USD 1 Month + 0.80%), 5.184%, 8/25/35 | 39200 | 36103 |
| Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 2.70%), 7.089%, 3/25/28 (Bermuda) | 759497 | 757104 |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (ICE LIBOR USD 1 Month + 0.43%), 4.819%, 5/25/46 | 205649 | 175830 |
| Structured Asset Mortgage Investments II Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-AR7, Class A1A, (ICE LIBOR USD 1 Month + 0.21%), 4.809%, 8/25/36 | 176498 | 142964 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 4.509%, 8/25/36 | 146826 | 124684 |
| Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58***<sup>(WAC)</sup>*** | 216000 | 184420 |
| WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (ICE LIBOR USD 1 Month + 0.98%), 5.369%, 10/25/45 | 98772 | 89711 |
|  |  | **21007541** |
| **Total mortgage-backed securities (cost $80,823,585)** |  | **$69684929** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **CORPORATE BONDS AND NOTES (18.2%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (18.2%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (18.2%)***<sup>(a)</sup>*** | **CORPORATE BONDS AND NOTES (18.2%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| **Basic materials (1.6%)** | **Basic materials (1.6%)** | **Basic materials (1.6%)** | **Basic materials (1.6%)** |
| Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 |  | $20000 | $19551 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 |  | 38000 | 35495 |
| Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 |  | 92000 | 87651 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |  | 305000 | 265465 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 |  | 30000 | 28177 |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 |  | 75000 | 60805 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) |  | 90000 | 87448 |
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) |  | 40000 | 39453 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) |  | 60000 | 55884 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) |  | 60000 | 56002 |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |  | 740000 | 597550 |
| Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 120000 | 70120 |
| Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 |  | $160000 | 138215 |
| LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 |  | 115000 | 95003 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 |  | 35000 | 34299 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 |  | 18000 | 17502 |
| Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) |  | 121000 | 114610 |
| Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) |  | 90000 | 75241 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 |  | 115000 | 93885 |
| Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 |  | 80000 | 70925 |
| Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 |  | 311000 | 278815 |
| Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 |  | 205000 | 194750 |
| Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 |  | 85000 | 70656 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 |  | 129000 | 127065 |
| WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 |  | 65000 | 57598 |
|  |  |  | **2772165** |
| **Capital goods (2.0%)** | **Capital goods (2.0%)** | **Capital goods (2.0%)** | **Capital goods (2.0%)** |
| Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 |  | 160000 | 131600 |
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 |  | 234000 | 216997 |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 |  | 115000 | 109096 |
| Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 |  | 35000 | 29838 |
| Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 |  | 100000 | 100529 |
| Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 |  | 72000 | 72166 |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 |  | 150000 | 154427 |
| GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) |  | 115000 | 109975 |
| Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 |  | 230000 | 178802 |
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 |  | 273000 | 232050 |
| Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 |  | 125000 | 108088 |
| Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 |  | 320000 | 276000 |
| Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 |  | 25000 | 23693 |
| Staples, Inc. 144A sr. notes 7.50%, 4/15/26 |  | 352000 | 302959 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 |  | 86000 | 83674 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 |  | 403000 | 378437 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 |  | 120000 | 104670 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 |  | 80000 | 70342 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 |  | 180000 | 177514 |
| Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 |  | 344000 | 292400 |
| Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 |  | 188000 | 166023 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 |  | 115000 | 116492 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 6/15/25 |  | 136000 | 137702 |
|  |  |  | **3573474** |
| **Communication services (1.4%)** | **Communication services (1.4%)** | **Communication services (1.4%)** | **Communication services (1.4%)** |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 |  | 820000 | 741501 |
| DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 |  | 89000 | 79625 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 |  | 130000 | 120800 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 |  | 28000 | 22348 |
| DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 |  | 35000 | 29482 |
| Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 |  | 590000 | 547856 |
| Lumen Technologies, Inc. 144A sr. unsec. unsub. notes 4.50%, 1/15/29 |  | 250000 | 172553 |
| Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |  | 125000 | 131538 |
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 |  | 433000 | 439056 |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 |  | 80000 | 66106 |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 |  | 19000 | 19182 |
| Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 115000 | 123589 |
|  |  |  | **2493636** |
| **Consumer cyclicals (2.7%)** | **Consumer cyclicals (2.7%)** | **Consumer cyclicals (2.7%)** | **Consumer cyclicals (2.7%)** |
| ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 |  | $70000 | 59532 |
| Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity |  | 328000 | 323802 |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 |  | 15000 | 15978 |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 |  | 55000 | 51612 |
| Block, Inc. sr. unsec. notes 3.50%, 6/1/31 |  | 75000 | 59844 |
| Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 |  | 55000 | 51226 |
| Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 |  | 285000 | 278988 |
| Carnival Corp. 144A notes 10.50%, 2/1/26 |  | 43000 | 43205 |
| Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 |  | 25000 | 25245 |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 |  | 144000 | 16920 |
| Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 |  | 100000 | 102211 |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 |  | 200000 | 192268 |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 |  | 200000 | 164168 |
| Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 |  | 135000 | 116366 |
| Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 |  | 20000 | 17574 |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 |  | 125000 | 121066 |
| Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 |  | 191000 | 173086 |
| JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 |  | 31000 | 28996 |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 |  | 65000 | 48924 |
| La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) | EUR | 100000 | 90791 |
| Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 |  | $57000 | 45240 |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 |  | 45000 | 41607 |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 |  | 60000 | 48536 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 |  | 170000 | 166753 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |  | 90000 | 79049 |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 |  | 25000 | 22985 |
| McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 |  | 95000 | 79835 |
| Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 |  | 688000 | 648440 |
| News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 |  | 9000 | 8190 |
| News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |  | 90000 | 78065 |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 |  | 55000 | 47475 |
| Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 |  | 20000 | 20552 |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 |  | 202000 | 201218 |
| Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 |  | 168000 | 136080 |
| Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 |  | 100000 | 94479 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 |  | 241000 | 188021 |
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 |  | 125000 | 108788 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 |  | 55000 | 47598 |
| Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 |  | 45000 | 33863 |
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 |  | 460000 | 424457 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 |  | 10000 | 8999 |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 |  | 115000 | 99979 |
| Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 |  | 19000 | 18158 |
| Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 |  | 50000 | 39250 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 |  | 70000 | 63173 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 |  | 122000 | 104570 |
|  |  |  | **4837162** |
| **Consumer staples (1.0%)** | **Consumer staples (1.0%)** | **Consumer staples (1.0%)** | **Consumer staples (1.0%)** |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) |  | 100000 | 89500 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |  | 35000 | 31236 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 |  | 141000 | 130971 |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 |  | 266000 | 223171 |
| CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 |  | 18000 | 15330 |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 |  | 110000 | 105600 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 |  | 85000 | 80538 |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 |  | 85000 | 75072 |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 |  | 33000 | 30360 |
| Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 |  | 35000 | 26840 |
| Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |  | 25000 | 20409 |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 |  | 60000 | 53488 |
| Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 5.625%, 2/15/29 |  | 200000 | 186000 |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |  | 120000 | 115870 |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |  | 246000 | 249328 |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |  | 60000 | 58200 |
| Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 |  | 66000 | 64185 |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 |  | 105000 | 98784 |
| Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 |  | 55000 | 46118 |
| Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |  | 55000 | 50463 |
|  |  |  | **1751463** |
| **Energy (5.2%)** | **Energy (5.2%)** | **Energy (5.2%)** | **Energy (5.2%)** |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 |  | 65000 | 65797 |
| Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 |  | 306000 | 275419 |
| Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 |  | 244000 | 223260 |
| Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 |  | 403000 | 379722 |
| Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 |  | 570000 | 512556 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 |  | 90000 | 76622 |
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 |  | 10000 | 7947 |
| Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 |  | 80000 | 68776 |
| Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 |  | 117000 | 107202 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 |  | 102000 | 94948 |
| DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 |  | 56000 | 55550 |
| Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 |  | 283000 | 258659 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 |  | 511000 | 489293 |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 |  | 51000 | 48577 |
| EQT Corp. sr. unsec. notes 5.00%, 1/15/29 |  | 10000 | 9388 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 |  | 102000 | 94319 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |  | 30000 | 25648 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 |  | 357000 | 347748 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |  | 195000 | 177549 |
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 |  | 195000 | 182868 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 |  | 70097 | 70972 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 |  | 485000 | 469817 |
| Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 |  | 380000 | 392684 |
| Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 |  | 550000 | 555054 |
| Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 |  | 23000 | 22917 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 |  | 195000 | 207555 |
| Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 |  | 142000 | 127270 |
| Permian Resources Operating LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 |  | 240000 | 218468 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) |  | 293000 | 278555 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) |  | 409000 | 406489 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) |  | 816000 | 617588 |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |  | 1034000 | 811945 |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) |  | 231000 | 223493 |
| Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |  | 183000 | 167436 |
| SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 |  | 51000 | 49124 |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 |  | 134000 | 130094 |
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 |  | 17000 | 16299 |
| SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 |  | 155000 | 148799 |
| Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 |  | 179000 | 152972 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 |  | 337000 | 307350 |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 |  | 230000 | 213224 |
| Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) |  | 31920 | 31282 |
| Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 |  | 77000 | 74930 |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 |  | 35000 | 33233 |
|  |  |  | **9229398** |
| **Financials (1.5%)** | **Financials (1.5%)** | **Financials (1.5%)** | **Financials (1.5%)** |
| AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 |  | 105000 | 96490 |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 |  | 30000 | 26869 |
| Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) | EUR | 105000 | 101131 |
| CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |  | $100000 | 95270 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 |  | 135000 | 121429 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 |  | 53000 | 48760 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) |  | 35000 | 33576 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) |  | 70000 | 61950 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 |  | 25000 | 22890 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 |  | 64000 | 54122 |
| iStar, Inc. sr. unsec. notes 5.50%, 2/15/26***<sup>(R)</sup>*** |  | 190000 | 189512 |
| iStar, Inc. sr. unsec. notes 4.75%, 10/1/24***<sup>(R)</sup>*** |  | 72000 | 71459 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25***<sup>(R)</sup>*** |  | 122000 | 119551 |
| Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) |  | 930000 | 845779 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29***<sup>(R)</sup>*** |  | 172000 | 138866 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25***<sup>(R)</sup>*** |  | 25000 | 23489 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27***<sup>(R)</sup>*** |  | 115000 | 96603 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 |  | 130000 | 101075 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 |  | 93000 | 75833 |
| OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 |  | 60000 | 57053 |
| OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 |  | 161000 | 131682 |
| PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 |  | 110000 | 99135 |
| Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25***<sup>(R)</sup>*** |  | 41000 | 39070 |
|  |  |  | **2651594** |
| **Health care (1.2%)** | **Health care (1.2%)** | **Health care (1.2%)** | **Health care (1.2%)** |
| Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 |  | 21000 | 16377 |
| Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 |  | 4000 | 2375 |
| Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 |  | 55000 | 45086 |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 |  | 157000 | 143472 |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |  | 60000 | 52050 |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |  | 55000 | 48400 |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 |  | 265000 | 252150 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 |  | 245000 | 242275 |
| HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 |  | 55000 | 47436 |
| Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) |  | 200000 | 178230 |
| Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) | EUR | 110000 | 89666 |
| Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 |  | $60000 | 47838 |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 |  | 155000 | 145316 |
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 |  | 40000 | 32516 |
| Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 |  | 40000 | 33689 |
| Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 |  | 99000 | 96550 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 |  | 135000 | 125582 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 |  | 127000 | 120097 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 |  | 55000 | 47647 |
| Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 |  | 85000 | 80988 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) |  | 200000 | 195000 |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) |  | 200000 | 178109 |
|  |  |  | **2220849** |
| **Technology (0.8%)** | **Technology (0.8%)** | **Technology (0.8%)** | **Technology (0.8%)** |
| Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 |  | 194000 | 151728 |
| Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 |  | 245000 | 206722 |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 |  | 373000 | 323620 |
| Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 |  | 202000 | 170141 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 |  | 107000 | 91485 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 |  | 65000 | 51568 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 |  | 320000 | 259968 |
| ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 |  | 216000 | 181523 |
|  |  |  | **1436755** |
| **Transportation (0.1%)** | **Transportation (0.1%)** | **Transportation (0.1%)** | **Transportation (0.1%)** |
| Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 |  | 170000 | 159795 |
| United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 |  | 45000 | 39181 |
| United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 |  | 45000 | 41712 |
|  |  |  | **240688** |
| **Utilities and power (0.7%)** | **Utilities and power (0.7%)** | **Utilities and power (0.7%)** | **Utilities and power (0.7%)** |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 |  | 29000 | 25946 |
| Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 |  | 42000 | 36918 |
| Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 |  | 29000 | 27623 |
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 |  | 170000 | 151636 |
| NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 |  | 8000 | 7932 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 |  | 170000 | 163733 |
| NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 |  | 215000 | 161476 |
| NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 |  | 142000 | 125349 |
| Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 |  | 56000 | 51324 |
| ReNew Wind Energy AP2/ReNew Power Pvt, Ltd. other 9 Subsidiaries company guaranty sr. notes Ser. REGS, 4.50%, 7/14/28 (India) |  | 200000 | 168232 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 |  | 50000 | 45042 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 |  | 168000 | 161854 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 |  | 75000 | 69607 |
|  |  |  | **1196672** |
| **Total corporate bonds and notes (cost $35,755,616)** | **Total corporate bonds and notes (cost $35,755,616)** | **Total corporate bonds and notes (cost $35,755,616)** | **$32403856** |

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| | | | |
|:---|:---|:---|:---|
| **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.9%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.9%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.9%)***<sup>(a)</sup>*** | **FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (7.9%)***<sup>(a)</sup>*** |
| | | **Principal amount** | **Value** |
| Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d'lvoire) | EUR | 1345000 | $1208400 |
| Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) |  | $1300000 | 1254500 |
| Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) |  | 340000 | 302707 |
| Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | 325000 | 269774 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |  | 336000 | 339051 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) |  | 180000 | 173235 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) |  | 284000 | 277826 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) |  | 380000 | 376645 |
| Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) |  | 260000 | 221343 |
| Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) |  | 725000 | 718599 |
| Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) |  | 360000 | 255143 |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) |  | 1130000 | 918106 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 1510000 | 605888 |
| Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)***<sup>(NON)</sup>*** |  | 1000000 | 375000 |
| Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) |  | 379000 | 339212 |
| Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) |  | 1220000 | 1195555 |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) |  | 360000 | 354603 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) |  | 650000 | 637814 |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) |  | 560000 | 556692 |
| Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) |  | 270000 | 232202 |
| Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) |  | 530000 | 437250 |
| Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) |  | 1670000 | 1146830 |
| United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) |  | 1250000 | 1000336 |
| Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) |  | 910000 | 895440 |
| **Total foreign government and agency bonds and notes (cost $16,371,683)** | **Total foreign government and agency bonds and notes (cost $16,371,683)** | **Total foreign government and agency bonds and notes (cost $16,371,683)** | **$14092151** |

---

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| | | |
|:---|:---|:---|
| **CONVERTIBLE BONDS AND NOTES (3.8%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (3.8%)***<sup>(a)</sup>*** | **CONVERTIBLE BONDS AND NOTES (3.8%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Capital goods (0.1%)** | **Capital goods (0.1%)** | **Capital goods (0.1%)** |
| Axon Enterprise, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/27 | $48000 | $47568 |
| John Bean Technologies Corp. cv. sr. unsec. notes 0.25%, 5/15/26 | 83000 | 71256 |
| Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 | 42000 | 49371 |
|  |  | **168195** |
| **Communication services (0.2%)** | **Communication services (0.2%)** | **Communication services (0.2%)** |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 173000 | 108385 |
| Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 38000 | 46797 |
| Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 | 79000 | 78783 |
| Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 | 188000 | 171362 |
|  |  | **405327** |
| **Consumer cyclicals (0.6%)** | **Consumer cyclicals (0.6%)** | **Consumer cyclicals (0.6%)** |
| Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 63000 | 51150 |
| Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 97000 | 73114 |
| Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 | 43000 | 34809 |
| Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 82000 | 109216 |
| Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 | 51000 | 58650 |
| DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 82000 | 50717 |
| Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 | 98000 | 85351 |
| Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 | 137000 | 129260 |
| Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 | 95000 | 68115 |
| National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 | 37000 | 50767 |
| NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 | 37000 | 37315 |
| NCL Corp., Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 | 82000 | 58835 |
| Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. unsub. notes 6.00%, 8/15/25 | 99000 | 124344 |
| Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 | 75000 | 74297 |
| Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 | 123000 | 114083 |
| Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 | 36000 | 37755 |
|  |  | **1157778** |
| **Consumer staples (0.4%)** | **Consumer staples (0.4%)** | **Consumer staples (0.4%)** |
| Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 142000 | 116866 |
| Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 | 65000 | 49140 |
| Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 | 67000 | 54898 |
| Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 | 78000 | 61183 |
| Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 | 180000 | 153684 |
| Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 | 49000 | 43143 |
| Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 73000 | 48043 |
| Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 | 93000 | 78330 |
| Upwork, Inc. cv. sr. unsec. notes 0.25%, 8/15/26 | 72000 | 53990 |
| Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 | 87000 | 56246 |
| Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 | 45000 | 42795 |
|  |  | **758318** |
| **Energy (0.2%)** | **Energy (0.2%)** | **Energy (0.2%)** |
| Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 92000 | 107585 |
| Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 | 27000 | 62964 |
| SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) | 53000 | 65800 |
| Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 | 96000 | 92280 |
|  |  | **328629** |
| **Financials (0.1%)** | **Financials (0.1%)** | **Financials (0.1%)** |
| Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23***<sup>(R)</sup>*** | 58000 | 56876 |
| SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 | 79000 | 54076 |
|  |  | **110952** |
| **Health care (0.6%)** | **Health care (0.6%)** | **Health care (0.6%)** |
| BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | 65000 | 69846 |
| CONMED Corp. 144A cv. sr. unsec. notes 2.25%, 6/15/27 | 38000 | 34618 |
| Dexcom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 86000 | 93525 |
| Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 140000 | 109732 |
| Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 | 46000 | 28607 |
| Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 | 150000 | 145219 |
| Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 69000 | 97428 |
| Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 50000 | 54531 |
| Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) | 114000 | 112219 |
| Lantheus Holdings, Inc. 144A cv. company guaranty sr. unsec. unsub. notes 2.625%, 12/15/27 | 54000 | 54373 |
| Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 42000 | 66213 |
| Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 | 95000 | 85559 |
| Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 70000 | 53774 |
|  |  | **1005644** |
| **Technology (1.3%)** | **Technology (1.3%)** | **Technology (1.3%)** |
| 3D Systems Corp. cv. sr. unsec. notes zero %, 11/15/26 | 57000 | 38874 |
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 170000 | 163710 |
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 74000 | 77700 |
| Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 91000 | 74074 |
| Bill.com Holdings, Inc. cv. sr. unsec. unsub. notes zero %, 4/1/27 | 89000 | 70355 |
| Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 46000 | 39186 |
| Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 | 63000 | 82625 |
| Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 | 69000 | 60479 |
| CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) | 53000 | 56083 |
| Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 61000 | 66566 |
| DigitalOcean Holdings, Inc. cv. sr. unsec. notes zero %, 12/1/26 | 58000 | 43355 |
| Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 | 69000 | 58567 |
| Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 | 47000 | 43052 |
| Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 | 75000 | 69413 |
| Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 | 57000 | 68400 |
| Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 138000 | 118335 |
| MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 46000 | 53935 |
| Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 119000 | 99960 |
| ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 | 56000 | 74200 |
| Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 51000 | 75302 |
| Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 72000 | 61695 |
| Perficient, Inc. cv. sr. unsec. notes 0.125%, 11/15/26 | 34000 | 26265 |
| Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 | 63000 | 49203 |
| RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 | 90000 | 77288 |
| Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 | 59000 | 73715 |
| Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 | 98000 | 68453 |
| Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 | 147000 | 124039 |
| Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 68000 | 54740 |
| Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 | 43000 | 39947 |
| Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 81000 | 60629 |
| Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 49000 | 49196 |
| Wolfspeed, Inc. 144A cv. sr. unsec. notes 1.875%, 12/1/29 | 66000 | 59433 |
| Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 | 71000 | 70787 |
| Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 43000 | 45150 |
|  |  | **2294711** |
| **Transportation (0.2%)** | **Transportation (0.2%)** | **Transportation (0.2%)** |
| American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 | 73000 | 76942 |
| JetBlue Airways Corp. cv. sr. unsec. notes 0.50%, 4/1/26 | 74000 | 53952 |
| Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 116000 | 139316 |
|  |  | **270210** |
| **Utilities and power (0.1%)** | **Utilities and power (0.1%)** | **Utilities and power (0.1%)** |
| NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 | 106000 | 105364 |
| NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 90000 | 88965 |
|  |  | **194329** |
| **Total convertible bonds and notes (cost $7,735,091)** |  | **$6694093** |

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------

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| | | |
|:---|:---|:---|
| **SENIOR LOANS (2.2%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (2.2%)***<sup>(a)(c)</sup>*** | **SENIOR LOANS (2.2%)***<sup>(a)(c)</sup>*** |
| | **Principal amount** | **Value** |
| Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 4/1/28 | $73875 | $72974 |
| American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 8.993%, 4/20/28 | 55000 | 54699 |
| AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.073%, 10/19/27 | 211027 | 203717 |
| Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 7.634%, 7/31/27 | 29549 | 25800 |
| Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.506%, 12/7/29 | 240000 | 240000 |
| Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 8.496%, 6/21/24 | 382455 | 341341 |
| BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 7.37%, 4/3/24 | 156496 | 152606 |
| Cengage Learning, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.75%), 7.814%, 6/29/26 | 172813 | 155046 |
| Chart Industries, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.033%, 12/8/29 | 472000 | 466397 |
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.915%, 8/21/26 | 229200 | 208326 |
| CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 8.48%, 5/27/28 | 93575 | 93016 |
| Diamond Sports Group, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 7.567%, 8/24/26 | 96772 | 11613 |
| DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 9.384%, 7/22/27 | 256302 | 248987 |
| Elanco Animal Health, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 1.75%), 5.87%, 2/4/27 | 59006 | 56563 |
| Envision Healthcare Corp. bank term loan FRN (US SOFR + 4.25%), 8.83%, 3/31/27 | 27954 | 9504 |
| Envision Healthcare Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 8.33%, 3/31/27 | 68443 | 17111 |
| Forest City Enterprises LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 7.884%, 12/7/25 | 85714 | 82312 |
| GFL Environmental, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.00%), 7.415%, 5/31/25 | 193336 | 193282 |
| Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 8.422%, 10/2/25 | 72702 | 50665 |
| Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.384%, 12/1/27 | 176850 | 169445 |
| iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 7.634%, 5/1/26 | 71328 | 65555 |
| One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 9.875%, 4/22/27 | 66481 | 54293 |
| PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.13%, 1/29/28 | 54723 | 53440 |
| Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 10.985%, 8/31/29 | 55000 | 52617 |
| Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 12.75%, 2/28/26 | 74000 | 38110 |
| TAMKO Building Products, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 7.57%, 5/3/26 | 255596 | 246331 |
| Terrier Media Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 12/17/26 | 121398 | 113399 |
| TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.18%, 3/30/29 | 130000 | 115863 |
| United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.108%, 4/21/28 | 112988 | 111356 |
| Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 8.358%, 4/24/28 | 204482 | 168902 |
| Werner Finco LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 8.73%, 7/24/24 | 33993 | 30480 |
| **Total senior loans (cost $4,188,675)** |  | **$3903750** |

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------

---

| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $215995 | $213295 |
| Mello Warehouse Securitization Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-3, Class E, (ICE LIBOR USD 1 Month + 3.25%), 7.639%, 11/25/55 | 585000 | 530174 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.389%, 11/25/55 | 425000 | 385390 |
| **Total asset-backed securities (cost $1,166,154)** |  | **$1128859** |

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| | | | | |
|:---|:---|:---|:---|:---|
| **PURCHASED OPTIONS OUTSTANDING (0.2%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (0.2%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (0.2%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (0.2%)***<sup>(a)</sup>*** | **PURCHASED OPTIONS OUTSTANDING (0.2%)***<sup>(a)</sup>*** |
| **Counterparty** | **Expiration date/<br>strike price** | **Notional<br>amount** | **Contract amount** | **Value** |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Call) | Feb-23/$99.01 | $39468750 | $40000000 | $281360 |
| **Total purchased options outstanding (cost $275,000)** |  |  |  | **$281360** |

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| | | |
|:---|:---|:---|
| **COMMON STOCKS (0.0%)***<sup>(a)</sup>*** | **COMMON STOCKS (0.0%)***<sup>(a)</sup>*** | **COMMON STOCKS (0.0%)***<sup>(a)</sup>*** |
| | **Shares** | **Value** |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 9820 | $11293 |
| **Total common stocks (cost $10,349)** |  | **$11293** |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **WARRANTS (—%)***<sup>(a)(NON)</sup>*** | **WARRANTS (—%)***<sup>(a)(NON)</sup>*** | **WARRANTS (—%)***<sup>(a)(NON)</sup>*** | **WARRANTS (—%)***<sup>(a)(NON)</sup>*** | **WARRANTS (—%)***<sup>(a)(NON)</sup>*** |
| | **Expiration date** | **Strike Price** | **Warrants** | **Value** |
| Guaranteed Rate, Inc.***<sup>(F)</sup>*** | 3/1/23 | $0.01 | 33 | $— |
| **Total warrants (cost $2)** |  |  |  | **$—** |

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (27.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (27.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (27.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (27.2%)***<sup>(a)</sup>*** |
| | | **Principal amount/shares** | **Value** |
| Putnam Short Term Investment Fund Class P 4.53%***<sup>(AFF)</sup>*** | Shares | 20068209 | $20068209 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.12%***<sup>(P)</sup>*** | Shares | 2978000 | 2978000 |
| Interest in $498,700,000 joint tri-party repurchase agreement dated 12/30/2022 with Royal Bank of Canada due 1/3/2023 - maturity value of $11,450,468 for an effective yield of 4.300% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 0.250% to 6.000% and due dates ranging from 7/31/2025 to 9/1/2052, valued at $508,917,110) |  | $11445000 | 11445000 |
| Australia & New Zealand Banking Group, Ltd. commercial paper 4.444%, 2/21/23 (Australia) |  | 1000000 | 993565 |
| Mitsubishi UFJ Trust & Banking Corp./NY commercial paper 4.469%, 2/6/23 |  | 750000 | 746569 |
| Mizuho Bank, Ltd./New York, NY commercial paper 4.374%, 2/6/23 |  | 1000000 | 995435 |
| NRW.Bank commercial paper 4.444%, 2/21/23 (Germany) |  | 1000000 | 993535 |
| Societe Generale SA commercial paper 4.246%, 1/31/23 (France) |  | 1000000 | 996171 |
| Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 4.431%, 2/2/23 (Singapore) |  | 1000000 | 995918 |
| Toronto-Dominion Bank (The) commercial paper 4.334%, 1/27/23 (Canada) |  | 1000000 | 996652 |
| U.S. Treasury Bills 3.693%, 1/24/23***<sup>(SEG)(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 4500000 | 4489918 |
| U.S. Treasury Bills 3.818%, 1/17/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 700000 | 698999 |
| U.S. Treasury Bills 3.652%, 1/12/23***<sup>(SEGSF)(SEGCCS)</sup>*** |  | 1100000 | 1099045 |
| U.S. Treasury Bills 4.001%, 1/10/23***<sup>(SEGSF)</sup>*** |  | 600000 | 599578 |
| U.S. Treasury Bills zero%, 2/23/23***<sup>(i)</sup>*** |  | 182000 | 180926 |
| **Total short-term investments (cost $48,278,012)** |  |  | **$48277520** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $304,897,620)** |  |  | **$285838520** |

---

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** | **FORWARD CURRENCY CONTRACTS at 12/31/22 (aggregate face value $14,939,501) (Unaudited)** |
|  | **Counterparty** | **Currency** | **Contract type\*** | **Delivery<br>date** | **Value** | **Aggregate face value** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  |  | Australian Dollar | Buy | 1/18/23 | $7902 | $7258 | $644 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 6795 | 6918 | 123 |
|  |  | New Zealand Dollar | Sell | 1/18/23 | 5334 | 4767 | (567) |
|  |  | Swedish Krona | Sell | 3/15/23 | 1135 | 1136 | 1 |
|  | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
|  |  | Canadian Dollar | Sell | 1/18/23 | 61083 | 60569 | (514) |
|  |  | Swiss Franc | Buy | 3/15/23 | 87398 | 85649 | 1749 |
|  | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
|  |  | Australian Dollar | Sell | 1/18/23 | 9537 | 9073 | (464) |
|  |  | British Pound | Sell | 3/15/23 | 375184 | 378653 | 3469 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 6552 | 6452 | (100) |
|  |  | Swedish Krona | Sell | 3/15/23 | 3868 | 3870 | 2 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  |  | Swedish Krona | Sell | 3/15/23 | 196337 | 196891 | 554 |
|  |  | Swiss Franc | Buy | 3/15/23 | 1080817 | 1059185 | 21632 |
|  | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** | **HSBC Bank USA, National Association** |
|  |  | Australian Dollar | Sell | 1/18/23 | 72075 | 68967 | (3108) |
|  |  | British Pound | Sell | 3/15/23 | 205031 | 206933 | 1902 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 32425 | 32327 | (98) |
|  |  | New Zealand Dollar | Sell | 1/18/23 | 11049 | 9874 | (1175) |
|  |  | Norwegian Krone | Buy | 3/15/23 | 23701 | 24181 | (480) |
|  |  | Swedish Krona | Sell | 3/15/23 | 92915 | 95186 | 2271 |
|  |  | Swiss Franc | Sell | 3/15/23 | 30404 | 30130 | (274) |
|  | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
|  |  | Canadian Dollar | Sell | 1/18/23 | 144619 | 143663 | (956) |
|  |  | Euro | Sell | 3/15/23 | 6884 | 6763 | (121) |
|  |  | Norwegian Krone | Sell | 3/15/23 | 11692 | 11427 | (265) |
|  |  | Swiss Franc | Buy | 3/15/23 | 10353 | 10148 | 205 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  |  | Australian Dollar | Buy | 1/18/23 | 134271 | 125317 | 8954 |
|  |  | Canadian Dollar | Buy | 1/18/23 | 89002 | 86175 | 2827 |
|  |  | Euro | Sell | 3/15/23 | 831104 | 816624 | (14480) |
|  |  | Japanese Yen | Buy | 2/15/23 | 690296 | 668749 | 21547 |
|  |  | New Zealand Dollar | Sell | 1/18/23 | 1294860 | 1157609 | (137251) |
|  | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** | **State Street Bank and Trust Co.** |
|  |  | Australian Dollar | Sell | 1/18/23 | 1231128 | 1174192 | (56936) |
|  |  | British Pound | Sell | 3/15/23 | 123770 | 125997 | 2227 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 1344263 | 1333483 | (10780) |
|  |  | Euro | Sell | 3/15/23 | 3271173 | 3212169 | (59004) |
|  |  | New Zealand Dollar | Buy | 1/18/23 | 46039 | 42745 | 3294 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 419130 | 412572 | (6558) |
|  |  | Swedish Krona | Sell | 3/15/23 | 676221 | 676267 | 46 |
|  |  | Swiss Franc | Buy | 3/15/23 | 89687 | 90078 | (391) |
|  | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
|  |  | British Pound | Sell | 3/15/23 | 32214 | 32517 | 303 |
|  |  | Canadian Dollar | Sell | 1/18/23 | 1198683 | 1188926 | (9757) |
|  |  | Japanese Yen | Buy | 2/15/23 | 4689 | 4217 | 472 |
|  |  | Norwegian Krone | Sell | 3/15/23 | 221810 | 218395 | (3415) |
|  | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
|  |  | British Pound | Buy | 3/15/23 | 484 | 488 | (4) |
|  |  | Canadian Dollar | Sell | 1/18/23 | 26664 | 26442 | (222) |
|  |  | Euro | Buy | 3/15/23 | 538 | 535 | 3 |
|  |  | Japanese Yen | Buy | 2/15/23 | 892640 | 802872 | 89768 |
|  |  | New Zealand Dollar | Sell | 1/18/23 | 28195 | 27199 | (996) |
|  |  | Swedish Krona | Sell | 3/15/23 | 5734 | 5739 | 5 |
|  | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** | **WestPac Banking Corp.** |
|  |  | Australian Dollar | Sell | 1/18/23 | 161453 | 153599 | (7854) |
|  |  | Euro | Sell | 3/15/23 | 10003 | 9979 | (24) |
|  |  | Japanese Yen | Sell | 2/15/23 | 26666 | 24239 | (2427) |
|  |  | New Zealand Dollar | Sell | 1/18/23 | 64264 | 57424 | (6840) |
|  |  | Swiss Franc | Sell | 3/15/23 | 4904 | 4933 | 29 |
|  | **Unrealized appreciation** | **Unrealized appreciation** |  |  |  |  | **162027** |
|  | **Unrealized (depreciation)** | **Unrealized (depreciation)** |  |  |  |  | **(325061)** |
|  | **Total** |  |  |  |  |  | **$(163034)** |
| \* | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. | The exchange currency for all contracts listed is the United States Dollar. |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| U.S. Treasury Note 2 yr (Short) | 35 | $7177734 | $7177734 | &nbsp;&nbsp;&nbsp;Mar-23 | $(7766) |
| U.S. Treasury Note 5 yr (Long) | 123 | 13275352 | 13275352 | &nbsp;&nbsp;&nbsp;Mar-23 | (30512) |
| U.S. Treasury Note Ultra 10 yr (Long) | 72 | 8516250 | 8516250 | &nbsp;&nbsp;&nbsp;Mar-23 | (60021) |
| **Unrealized appreciation** |  |  |  |  | **—** |
| **Unrealized (depreciation)** |  |  |  |  | **(98299)** |
| **Total** |  |  |  |  | **$(98299)** |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)** | **WRITTEN OPTIONS OUTSTANDING at 12/31/22 (premiums $275,000) (Unaudited)** |
| **Counterparty** | **Expiration date/<br>strike price** | **Notional<br>amount** | **Contract amount** | **Value** |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;Uniform Mortgage-Backed Securities 30 yr 5.00% TBA commitments (Put) | Feb-23/$99.01 | $39468750 | $40000000 | $446240 |
| **Total** |  |  |  | **$446240** |

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------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date** | **Expiration date/strike** | | **Notional/<br>Contract amount** | **Premium receivable/<br>(payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | $42445300 | $(488121) | $1087449 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | 42445300 | (488121) | (299664) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 |  | 29258100 | 401567 | 321254 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 |  | 14629100 | (706586) | (540253) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 |  | 7314500 | 114106 | 91943 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 6717000 | (435597) | 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 |  | 6717000 | (435597) | (269) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.35)/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 |  | 6660800 | (865904) | 579689 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.35/3 month USD-LIBOR-ICE/Apr-56 (Purchased) | Apr-26/2.35 |  | 6660800 | (865904) | (443809) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 6426700 | (949866) | 146336 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 |  | 6426700 | (949866) | (217030) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 5245600 | (778972) | 159414 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 |  | 5245600 | (778972) | (212237) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 |  | 5120200 | (251841) | (192724) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 4995700 | 363437 | 57251 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 |  | 4995700 | 363437 | (55252) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.925)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 4191700 | (300126) | 559969 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.925/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.925 |  | 4191700 | (300126) | (191728) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 |  | 2865000 | (148980) | 50080 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 |  | 2865000 | (146115) | (32145) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 |  | 2779100 | (140345) | 51219 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 |  | 2779100 | (140345) | (29153) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.85)/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 2134700 | (155833) | 292091 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.85/3 month USD-LIBOR-ICE/Mar-40 (Purchased) | Mar-30/0.85 |  | 2134700 | (155833) | (101057) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 2128300 | (277211) | 332462 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 |  | 2128300 | (277211) | (172861) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 1978300 | 154505 | 18616 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 |  | 1978300 | 154505 | (21643) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.405)/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 927600 | (142271) | 132081 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.405/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 927600 | (142271) | (79866) |
| **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.09)/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 |  | 7760400 | (631309) | 73181 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.09/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 |  | 7760400 | (631309) | (35698) |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;4.108/US SOFR/Jan-28 (Purchased) | Jan-23/4.108 |  | 15743100 | (225913) | 58092 |
| &nbsp;&nbsp;&nbsp;&nbsp;(4.108)/US SOFR/Jan-28 (Purchased) | Jan-23/4.108 |  | 15743100 | (225913) | (208124) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 15721800 | (512531) | 846147 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 |  | 15721800 | (512531) | (281263) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 10644300 | (141889) | 226724 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 |  | 10644300 | (141889) | (62908) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 |  | 9948700 | (120379) | (33527) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6632800 | (489832) | 429938 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6632800 | (489832) | (198188) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 4059800 | (303876) | 793366 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 4059800 | (303876) | (301115) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 3532900 | (266557) | 705414 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 3532900 | (266557) | (264190) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 3458300 | (255655) | 688444 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 3458300 | (255655) | (253286) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 2053700 | (149612) | 106957 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 |  | 2053700 | (149612) | (52534) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 1936700 | (285663) | 88430 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 |  | 1936700 | (285663) | (61955) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 934000 | (120253) | 35361 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 |  | 934000 | (120253) | (73198) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.055)/3 month EUR-EURIBOR/Mar-25 (Written) | Mar-24/0.055 | EUR | 99070400 | 317859 | 296940 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.555/3 month EUR-EURIBOR/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 49535200 | (312472) | (291107) |
| **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.92/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 |  | $6237500 | (136289) | 85267 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.92)/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 |  | 6237500 | (136289) | (109281) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.40)/US SOFR/May-57 (Purchased) | May-27/2.40 |  | 6009600 | (775238) | 318749 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.40/US SOFR/May-57 (Purchased) | May-27/2.40 |  | 6009600 | (775238) | (205769) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 739600 | (93375) | 21870 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 |  | 739600 | (93375) | (39835) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 12853300 | (1082891) | 123135 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 |  | 12853300 | (1082891) | (111824) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 9935900 | 212007 | 165333 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 9935900 | 212007 | (566244) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.317)/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 2137300 | 181029 | 60421 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.317/US SOFR/Apr-42 (Written) | Apr-32/2.317 |  | 2137300 | 181029 | (75190) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1633300 | 96528 | 52543 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1633300 | 96528 | (133686) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.315)/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 4466700 | (375608) | 75299 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.315/6 month AUD-BBR-BBSW/May-52 (Purchased) | May-32/3.315 | AUD | 4466700 | (375608) | (72015) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2376500 | (147789) | 264129 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2376500 | (147789) | (93361) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1940600 | (72744) | 198440 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1940600 | (72744) | (52943) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1387400 | (43285) | 174914 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1387400 | (43285) | (38285) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929600 | (54979) | 179660 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929600 | (54979) | (47450) |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | $1191600 | (135962) | (31637) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 |  | 1191600 | (135962) | (61475) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 934000 | (143089) | 34091 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 |  | 934000 | (100498) | (62139) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.3825)/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 392600 | (49762) | 21691 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3825/US SOFR/Jul-56 (Purchased) | Jul-26/2.3825 |  | 392600 | (49762) | (16882) |
| **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 1751900 | (91624) | 164906 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 |  | 1751900 | (91624) | (56937) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 713100 | (49739) | 39791 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 |  | 713100 | (49739) | (17300) |
| **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** | **UBS AG** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2078300 | (110618) | 82000 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2078300 | (110618) | (34781) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 997300 | (60554) | 17885 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 997300 | (60554) | (12915) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.292)/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 26166500 | (150915) | (16246) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.292/6 month EUR-EURIBOR/Oct-24 (Purchased) | Oct-23/3.292 | EUR | 26166500 | (150915) | (88231) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.44)/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2103600 | (165032) | 279899 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.44/6 month EUR-EURIBOR/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2103600 | (165032) | (80006) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.325)/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1424900 | (197553) | 128032 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.325/6 month EUR-EURIBOR/Apr-49 (Purchased) | Apr-29/1.325 | EUR | 1424900 | (197553) | (82213) |
| &nbsp;&nbsp;&nbsp;&nbsp;(0.296)/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701200 | (106103) | 126213 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.296/6 month EUR-EURIBOR/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701200 | (106103) | (50801) |
| **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0575/US SOFR/Jan-33 (Purchased) | Jan-23/3.0575 | USD | 11429300 | (86291) | (83548) |
| **Unrealized appreciation** |  |  |  |  | **10843721** |
| **Unrealized (depreciation)** |  |  |  |  | **(6947778)** |
| **Total** |  |  |  |  | **$3895943** |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $32,151,406) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $32,151,406) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $32,151,406) (Unaudited)** | **TBA SALE COMMITMENTS OUTSTANDING at 12/31/22 (proceeds receivable $32,151,406) (Unaudited)** |
| **Agency** | **Principal amount** | **Settlement date** | **Value** |
| Government National Mortgage Association, 3.50%, 1/1/53 | $1000000 | 1/23/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$918780 |
| Uniform Mortgage-Backed Securities, 5.00%, 1/1/53 | 7000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6902658 |
| Uniform Mortgage-Backed Securities, 4.50%, 1/1/53 | 6000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5783437 |
| Uniform Mortgage-Backed Securities, 4.00%, 1/1/53 | 2000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1877499 |
| Uniform Mortgage-Backed Securities, 3.00%, 1/1/53 | 6000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5271094 |
| Uniform Mortgage-Backed Securities, 2.50%, 1/1/53 | 7000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5934688 |
| Uniform Mortgage-Backed Securities, 2.00%, 1/1/53 | 6000000 | 1/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4897313 |
| **Total** |  |  | **$31585469** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $3902100 | $733009 | $163446 | 9/1/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(565893) |
|  |  | 10525000 | 423210 | 509 | 12/23/23 | &nbsp;&nbsp;0.695% — Annually | US SOFR — Annually | 433208 |
|  |  | 9137000 | 928228 | 785 | 12/23/26 | &nbsp;&nbsp;1.085% — Annually | US SOFR — Annually | 936360 |
|  |  | 3751000 | 651099 | 453 | 12/23/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 654380 |
|  |  | 1989000 | 656748 | (3542) | 12/23/51 | &nbsp;&nbsp;US SOFR — Annually | 1.437% — Annually | (661714) |
|  |  | 17549000 | 705294 | (1786) | 12/24/23 | &nbsp;&nbsp;0.697% — Annually | US SOFR — Annually | 710535 |
|  |  | 2253000 | 228071 | (302) | 12/24/26 | &nbsp;&nbsp;1.096% — Annually | US SOFR — Annually | 228572 |
|  |  | 4722000 | 819786 | (2108) | 12/24/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 819261 |
|  |  | 8061000 | 2664564 | (4356) | 12/24/51 | &nbsp;&nbsp;1.435% — Annually | US SOFR — Annually | 2662774 |
|  |  | 3679000 | 1155280 | (600) | 12/31/51 | &nbsp;&nbsp;1.525% — Annually | US SOFR — Annually | 1155247 |
|  |  | 1496000 | 149794 | (198) | 12/31/26 | &nbsp;&nbsp;US SOFR — Annually | 1.135% — Annually | (150256) |
|  |  | 392000 | 66072 | 7059 | 12/31/31 | &nbsp;&nbsp;US SOFR — Annually | 1.355% — Annually | (59077) |
|  |  | 994900 | 65624 ***<sup>(E)</sup>*** | (22) | 1/15/47 | &nbsp;&nbsp;1.724% — Annually | US SOFR — Annually | 65601 |
|  |  | 2639000 | 754648 | (90) | 1/21/52 | &nbsp;&nbsp;1.679% — Annually | US SOFR — Annually | 750478 |
|  |  | 1659000 | 490533 | (57) | 1/19/52 | &nbsp;&nbsp;US SOFR — Annually | 1.626% — Annually | (491847) |
|  |  | 1097000 | 318700 | (37) | 2/1/52 | &nbsp;&nbsp;1.6545% — Annually | US SOFR — Annually | 317437 |
|  |  | 4024900 | 1017696 | (137) | 2/24/52 | &nbsp;&nbsp;US SOFR — Annually | 1.86% — Annually | (1010382) |
|  |  | 2096000 | 565689 | (72) | 2/29/52 | &nbsp;&nbsp;1.7674% — Annually | US SOFR — Annually | 565104 |
|  |  | 1764000 | 247754 | (23) | 2/29/32 | &nbsp;&nbsp;US SOFR — Annually | 1.75% — Annually | (246461) |
|  |  | 11852000 | 977434 | (96) | 2/28/27 | &nbsp;&nbsp;1.675% — Annually | US SOFR — Annually | 1002310 |
|  |  | 19510000 | 742356 | (74) | 2/29/24 | &nbsp;&nbsp;US SOFR — Annually | 1.47709% — Annually | (815996) |
|  |  | 1854000 | 270239 | (25) | 3/7/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (264853) |
|  |  | 8064200 | 1262289 | (107) | 3/9/32 | &nbsp;&nbsp;1.5475% — Annually | US SOFR — Annually | 1278372 |
|  |  | 8361800 | 1312803 | (111) | 3/9/32 | &nbsp;&nbsp;1.5415% — Annually | US SOFR — Annually | 1330928 |
|  |  | 4408000 | 625583 | (58) | 3/11/32 | &nbsp;&nbsp;1.737% — Annually | US SOFR — Annually | 627084 |
|  |  | 1342000 | 39200 | (5) | 4/7/24 | &nbsp;&nbsp;US SOFR — Annually | 2.4485% — Annually | (33900) |
|  |  | 276000 | 14647 | (2) | 4/7/27 | &nbsp;&nbsp;2.469% — Annually | US SOFR — Annually | 13596 |
|  |  | 296000 | 28567 | (4) | 4/7/23 | &nbsp;&nbsp;2.3305% — Annually | US SOFR — Annually | 27765 |
|  |  | 118000 | 24617 | (4) | 4/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.1005% — Annually | (24488) |
|  |  | 5761000 | 481677 | (76) | 4/14/32 | &nbsp;&nbsp;2.4975% — Annually | US SOFR — Annually | 450929 |
|  |  | 4987000 | 820312 | (170) | 4/14/52 | &nbsp;&nbsp;US SOFR — Annually | 2.3395% — Annually | (800557) |
|  |  | 1381000 | 72710 | (11) | 4/14/27 | &nbsp;&nbsp;2.483% — Annually | US SOFR — Annually | 67263 |
|  |  | 1765000 | 53144 | (7) | 4/14/24 | &nbsp;&nbsp;US SOFR — Annually | 2.403% — Annually | (47096) |
|  |  | 14654000 | 659577 | (138) | 5/2/27 | &nbsp;&nbsp;US SOFR — Annually | 2.685% — Annually | (628461) |
|  |  | 25078600 | 740320 | (95) | 5/25/24 | &nbsp;&nbsp;2.5945% — Annually | US SOFR — Annually | 732263 |
|  |  | 1040000 | 139901 | (35) | 5/25/52 | &nbsp;&nbsp;US SOFR — Annually | 2.501% — Annually | (138450) |
|  |  | 801300 | 72013 ***<sup>(E)</sup>*** | (27) | 5/28/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 71986 |
|  |  | 2133000 | 136747 | (28) | 6/7/32 | &nbsp;&nbsp;US SOFR — Annually | 2.7565% — Annually | (130829) |
|  |  | 1727000 | 193545 | (59) | 6/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.622% — Annually | (191533) |
|  |  | 32149300 | 1887164 | (426) | 6/8/32 | &nbsp;&nbsp;US SOFR — Annually | 2.825% — Annually | (1837476) |
|  |  | 1596200 | 353766 | (200345) | 6/22/52 | &nbsp;&nbsp;2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 154595 |
|  |  | 26508000 | 527774 | (100) | 6/15/24 | &nbsp;&nbsp;US SOFR — Annually | 3.3385% — Annually | (437868) |
|  |  | 17825000 | 451686 | (144) | 6/15/27 | &nbsp;&nbsp;3.185% — Annually | US SOFR — Annually | 406219 |
|  |  | 2377100 | 94965 | (34) | 9/8/32 | &nbsp;&nbsp;US SOFR — Annually | 3.07% — Annually | (96743) |
|  |  | 3722900 | 214439 ***<sup>(E)</sup>*** | (53) | 2/3/33 | &nbsp;&nbsp;3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 214386 |
|  |  | 8267900 | 688716 ***<sup>(E)</sup>*** | (117) | 1/31/33 | &nbsp;&nbsp;2.545% — Annually | US SOFR — Annually | 688599 |
|  |  | 8267900 | 685326 ***<sup>(E)</sup>*** | (117) | 1/31/33 | &nbsp;&nbsp;2.55% — Annually | US SOFR — Annually | 685209 |
|  |  | 7787200 | 680757 ***<sup>(E)</sup>*** | (110) | 2/1/33 | &nbsp;&nbsp;2.495% — Annually | US SOFR — Annually | 680647 |
|  |  | 7842000 | 715975 | (104) | 8/2/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4275% — Annually | (733908) |
|  |  | 7614200 | 720989 ***<sup>(E)</sup>*** | (108) | 2/1/33 | &nbsp;&nbsp;2.4075% — Annually | US SOFR — Annually | 720881 |
|  |  | 754900 | 33978 ***<sup>(E)</sup>*** | (15) | 4/1/42 | &nbsp;&nbsp;US SOFR — Annually | 2.63% — Annually | (33993) |
|  |  | 1043000 | 75294 ***<sup>(E)</sup>*** | (16) | 3/24/35 | &nbsp;&nbsp;US SOFR — Annually | 2.39% — Annually | (75310) |
|  |  | 2268200 | 264336 | (67) | 8/10/42 | &nbsp;&nbsp;2.645% — Annually | US SOFR — Annually | 268777 |
|  |  | 3844400 | 469670 | (8571) | 8/10/42 | &nbsp;&nbsp;US SOFR — Annually | 2.605% — Annually | (485751) |
|  |  | 1576300 | 195572 | (47) | 8/10/42 | &nbsp;&nbsp;2.5915% — Annually | US SOFR — Annually | 198680 |
|  |  | 6381000 | 269725 ***<sup>(E)</sup>*** | (60) | 2/6/29 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 269665 |
|  |  | 12988000 | 995141 | (171) | 8/16/32 | &nbsp;&nbsp;US SOFR — Annually | 2.613% — Annually | (1020921) |
|  |  | 1474900 | 38052 ***<sup>(E)</sup>*** | (33) | 1/15/47 | &nbsp;&nbsp;2.49% — Annually | US SOFR — Annually | 38020 |
|  |  | 223000 | 13003 | (3) | 8/25/32 | &nbsp;&nbsp;US SOFR — Annually | 2.8415% — Annually | (13280) |
|  |  | 936000 | 38994 ***<sup>(E)</sup>*** | (14) | 2/21/35 | &nbsp;&nbsp;2.785% — Annually | US SOFR — Annually | 38980 |
|  |  | 14923900 | 294449 | (56) | 9/6/24 | &nbsp;&nbsp;US SOFR — Annually | 3.413% — Annually | (288633) |
|  |  | 7341100 | 63647 ***<sup>(E)</sup>*** | (41) | 1/15/27 | &nbsp;&nbsp;US SOFR — Annually | 2.73% — Annually | (63688) |
|  |  | 7141200 | 301144 | (94) | 9/13/32 | &nbsp;&nbsp;3.043% — Annually | US SOFR — Annually | 307029 |
|  |  | 1315800 | 29342 ***<sup>(E)</sup>*** | (26) | 1/15/41 | &nbsp;&nbsp;3.0500% — Annually | US SOFR — Annually | 29317 |
|  |  | 750900 | 18157 ***<sup>(E)</sup>*** | (15) | 1/15/42 | &nbsp;&nbsp;2.9825% — Annually | US SOFR — Annually | 18142 |
|  |  | 2549000 | 149575 | (87) | 9/26/52 | &nbsp;&nbsp;2.905% — Annually | US SOFR — Annually | 153080 |
|  |  | 13256000 | 177630 | (125) | 9/26/27 | &nbsp;&nbsp;US SOFR — Annually | 3.465% — Annually | (176428) |
|  |  | 834000 | 21859 | (11) | 9/19/32 | &nbsp;&nbsp;3.24% — Annually | US SOFR — Annually | 22223 |
|  |  | 4964000 | 45718 | (66) | 9/26/32 | &nbsp;&nbsp;US SOFR — Annually | 3.449% — Annually | (45501) |
|  |  | 1989700 | 5591 ***<sup>(E)</sup>*** | (28) | 10/3/33 | &nbsp;&nbsp;3.394% — Annually | US SOFR — Annually | 5563 |
|  |  | 5427000 | 5915 | (44) | 10/4/27 | &nbsp;&nbsp;3.75% — Annually | US SOFR — Annually | 2060 |
|  |  | 13638000 | 106513 | (180) | 10/5/32 | &nbsp;&nbsp;US SOFR — Annually | 3.466% — Annually | (108001) |
|  |  | 1626000 | 30309 ***<sup>(E)</sup>*** | (24) | 10/21/36 | &nbsp;&nbsp;US SOFR — Annually | 3.116% — Annually | (30333) |
|  |  | 657000 | 11708 ***<sup>(E)</sup>*** | (9) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | (11717) |
|  |  | 2307000 | 40465 ***<sup>(E)</sup>*** | (33) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.337% — Annually | (40497) |
|  |  | 2307000 | 41226 ***<sup>(E)</sup>*** | (33) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.333% — Annually | (41259) |
|  |  | 4832000 | 83545 ***<sup>(E)</sup>*** | (68) | 8/23/33 | &nbsp;&nbsp;US SOFR — Annually | 3.237% — Annually | (83613) |
|  |  | 2154000 | 39763 ***<sup>(E)</sup>*** | (30) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.3255% — Annually | (39793) |
|  |  | 4646000 | 83070 ***<sup>(E)</sup>*** | (66) | 9/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.225% — Annually | (83136) |
|  |  | 145000 | 2546 | (2) | 11/14/32 | &nbsp;&nbsp;3.347% — Annually | US SOFR — Annually | 2610 |
|  |  | 681000 | 35276 ***<sup>(E)</sup>*** | (23) | 2/3/53 | &nbsp;&nbsp;2.9275% — Annually | US SOFR — Annually | 35253 |
|  |  | 1807000 | 35995 ***<sup>(E)</sup>*** | (25) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.308% — Annually | (36021) |
|  |  | 39127000 | 271150 | (147) | 10/7/24 | &nbsp;&nbsp;US SOFR — Annually | 4.1845% — Annually | (215437) |
|  |  | 7956000 | 39780 | (105) | 10/7/32 | &nbsp;&nbsp;3.5005% — Annually | US SOFR — Annually | 37250 |
|  |  | 78254000 | 535257 | 17918 | 10/7/24 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 440406 |
|  |  | 37412000 | 71831 | (8845) | 10/7/27 | &nbsp;&nbsp;US SOFR — Annually | 3.73% — Annually | (67875) |
|  |  | 65239000 | 328805 | (25648) | 10/7/32 | &nbsp;&nbsp;3.50% — Annually | US SOFR — Annually | 316679 |
|  |  | 15912000 | 67308 | (15237) | 10/7/32 | &nbsp;&nbsp;US SOFR — Annually | 3.51% — Annually | (85462) |
|  |  | 18659000 | 588132 | 12495 | 10/7/52 | &nbsp;&nbsp;US SOFR — Annually | 3.05% — Annually | (599561) |
|  |  | 6207000 | 10490 ***<sup>(E)</sup>*** | (43) | 4/8/28 | &nbsp;&nbsp;3.44% — Annually | US SOFR — Annually | (10533) |
|  |  | 16875000 | 21094 ***<sup>(E)</sup>*** | (63) | 1/31/25 | &nbsp;&nbsp;US SOFR — Annually | 4.035% — Annually | 21030 |
|  |  | 2285900 | 19979 ***<sup>(E)</sup>*** | (32) | 1/17/33 | &nbsp;&nbsp;3.6575% — Annually | US SOFR — Annually | (20011) |
|  |  | 685000 | 6994 ***<sup>(E)</sup>*** | (23) | 1/16/55 | &nbsp;&nbsp;2.97% — Annually | US SOFR — Annually | 6971 |
|  |  | 12730000 | 41245 ***<sup>(E)</sup>*** | (71) | 1/16/26 | &nbsp;&nbsp;US SOFR — Annually | 3.605% — Annually | 41175 |
|  |  | 2662000 | 19459 | (91) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.2571% — Annually | 18222 |
|  |  | 6427800 | 85490 ***<sup>(E)</sup>*** | (219) | 10/9/54 | &nbsp;&nbsp;3.115% — Annually | US SOFR — Annually | (85708) |
|  |  | 26139900 | 357855 ***<sup>(E)</sup>*** | (369) | 10/10/33 | &nbsp;&nbsp;US SOFR — Annually | 3.594% — Annually | 357487 |
|  |  | 199000 | 4444 | (7) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.3375% — Annually | 4384 |
|  |  | 784600 | 14892 ***<sup>(E)</sup>*** | (27) | 1/24/55 | &nbsp;&nbsp;3.135% — Annually | US SOFR — Annually | (14918) |
|  |  | 2425600 | 32697 ***<sup>(E)</sup>*** | (23) | 4/13/28 | &nbsp;&nbsp;3.965% — Annually | US SOFR — Annually | (32720) |
|  |  | 802200 | 14464 ***<sup>(E)</sup>*** | (12) | 4/4/35 | &nbsp;&nbsp;3.5575% — Annually | US SOFR — Annually | (14476) |
|  |  | 1604300 | 18417 ***<sup>(E)</sup>*** | (18) | 5/8/30 | &nbsp;&nbsp;US SOFR — Annually | 3.52% — Annually | 18399 |
|  |  | 2196500 | 5381 ***<sup>(E)</sup>*** | (19) | 4/4/32 | &nbsp;&nbsp;3.515% — Annually | US SOFR — Annually | (5401) |
|  |  | 13161200 | 322976 ***<sup>(E)</sup>*** | (186) | 11/24/33 | &nbsp;&nbsp;US SOFR — Annually | 3.708% — Annually | 322790 |
|  |  | 4928000 | 119701 ***<sup>(E)</sup>*** | (69) | 6/6/34 | &nbsp;&nbsp;US SOFR — Annually | 3.645% — Annually | 119632 |
|  |  | 376100 | 7481 ***<sup>(E)</sup>*** | (6) | 2/19/36 | &nbsp;&nbsp;US SOFR — Annually | 3.6145% — Annually | 7475 |
|  |  | 278800 | 5504 ***<sup>(E)</sup>*** | (4) | 3/3/36 | &nbsp;&nbsp;US SOFR — Annually | 3.614% — Annually | 5499 |
|  |  | 3276000 | 148567 | (111) | 10/24/52 | &nbsp;&nbsp;US SOFR — Annually | 3.4605% — Annually | 147692 |
|  |  | 9691400 | 38475 ***<sup>(E)</sup>*** | (36) | 6/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.31% — Annually | 38439 |
|  |  | 1928000 | 108122 | (66) | 10/27/32 | &nbsp;&nbsp;3.5176% — Annually | US SOFR — Annually | (108199) |
|  |  | 4390900 | 131244 ***<sup>(E)</sup>*** | (62) | 12/4/33 | &nbsp;&nbsp;US SOFR — Annually | 3.77% — Annually | 131182 |
|  |  | 1468300 | 19558 ***<sup>(E)</sup>*** | (16) | 3/24/32 | &nbsp;&nbsp;US SOFR — Annually | 3.64% — Annually | 19541 |
|  |  | 3580900 | 80284 ***<sup>(E)</sup>*** | (54) | 6/28/37 | &nbsp;&nbsp;US SOFR — Annually | 3.70% — Annually | 80230 |
|  |  | 813900 | 18117 ***<sup>(E)</sup>*** | (16) | 6/20/40 | &nbsp;&nbsp;US SOFR — Annually | 3.75% — Annually | 18102 |
|  |  | 9533000 | 63680 | (77) | 11/1/27 | &nbsp;&nbsp;3.9195% — Annually | US SOFR — Annually | (68076) |
|  |  | 17241000 | 68619 | (65) | 11/9/24 | &nbsp;&nbsp;US SOFR — Annually | 4.7655% — Annually | 101097 |
|  |  | 12462000 | 328498 | (165) | 11/14/32 | &nbsp;&nbsp;3.88% — Annually | US SOFR — Annually | (331853) |
|  |  | 6000000 | 53640 | (79) | 11/21/32 | &nbsp;&nbsp;3.4515% — Annually | US SOFR — Annually | 56940 |
|  |  | 749200 | 5117 | (10) | 11/25/32 | &nbsp;&nbsp;3.477% — Annually | US SOFR — Annually | 5082 |
|  |  | 24017000 | 67248 | (90) | 12/5/24 | &nbsp;&nbsp;4.3515% — Annually | US SOFR — Annually | 53400 |
|  |  | 2000000 | 69440 | (26) | 12/9/32 | &nbsp;&nbsp;3.14% — Annually | US SOFR — Annually | 69513 |
|  |  | 1398800 | 102924 ***<sup>(E)</sup>*** | (48) | 12/10/57 | &nbsp;&nbsp;2.47% — Annually | US SOFR — Annually | 102876 |
|  |  | 1606700 | 95229 ***<sup>(E)</sup>*** | (55) | 12/13/57 | &nbsp;&nbsp;2.558% — Annually | US SOFR — Annually | 95174 |
|  |  | 5841000 | 149997 ***<sup>(E)</sup>*** | (26483) | 3/15/33 | &nbsp;&nbsp;US SOFR — Annually | 3.22% — Annually | (176480) |
|  |  | 7247000 | 20437 ***<sup>(E)</sup>*** | 25675 | 3/15/25 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 46112 |
|  |  | 73790000 | 380019 ***<sup>(E)</sup>*** | (511944) | 3/15/30 | &nbsp;&nbsp;US SOFR — Annually | 3.50% — Annually | (891963) |
|  |  | 178571000 | 807141 ***<sup>(E)</sup>*** | (579031) | 3/15/25 | &nbsp;&nbsp;4.10% — Annually | US SOFR — Annually | 228110 |
|  |  | 30857000 | 13269 ***<sup>(E)</sup>*** | 123860 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | 110591 |
|  |  | 85969000 | 1638569 ***<sup>(E)</sup>*** | (1203397) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | 435173 |
|  |  | 12097000 | 660254 ***<sup>(E)</sup>*** | 591305 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | (68949) |
|  |  | 2012000 | 15050 | (27) | 12/29/32 | &nbsp;&nbsp;3.468% — Annually | US SOFR — Annually | 15163 |
|  |  | 1658000 | 6334 | (56) | 12/29/52 | &nbsp;&nbsp;US SOFR — Annually | 3.1925% — Annually | (6543) |
|  |  | 1376000 | 13760 | (47) | 12/30/52 | &nbsp;&nbsp;3.1595% — Annually | US SOFR — Annually | 13800 |
|  |  | 18272000 | 13887 | (241) | 1/3/33 | &nbsp;&nbsp;US SOFR — Annually | 3.5475% — Annually | (14128) |
|  |  | 25828000 | 24537 | (208) | 1/3/28 | &nbsp;&nbsp;3.7245% — Annually | US SOFR — Annually | 24329 |
|  |  | 1658000 | 4294 | (22) | 1/3/33 | &nbsp;&nbsp;US SOFR — Annually | 3.5255% — Annually | (4316) |
|  | AUD | 79300 | 12188 ***<sup>(E)</sup>*** | (1) | 1/30/35 | &nbsp;&nbsp;1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 12187 |
|  | AUD | 266900 | 43974 ***<sup>(E)</sup>*** | (3) | 3/5/35 | &nbsp;&nbsp;1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 43972 |
|  | AUD | 99100 | 16659 ***<sup>(E)</sup>*** | (1) | 3/25/35 | &nbsp;&nbsp;1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 16658 |
|  | AUD | 155200 | 21234 ***<sup>(E)</sup>*** | (2) | 3/28/40 | &nbsp;&nbsp;1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 21232 |
|  | AUD | 579100 | 85736 ***<sup>(E)</sup>*** | (7) | 4/1/40 | &nbsp;&nbsp;1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 85729 |
|  | AUD | 37200 | 9408 ***<sup>(E)</sup>*** | (1) | 7/2/45 | &nbsp;&nbsp;1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 9408 |
|  | AUD | 1800000 | 222667 | (20) | 4/6/31 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (226980) |
|  | AUD | 1473400 | 275288 | 256365 | 11/24/42 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 2.50% — Semiannually | (20093) |
|  | AUD | 2539000 | 73866 ***<sup>(E)</sup>*** | 5524 | 3/15/33 | &nbsp;&nbsp;6 month AUD-BBR-BBSW — Semiannually | 4.05% — Semiannually | (68343) |
|  | AUD | 6421000 | 31345 ***<sup>(E)</sup>*** | (4171) | 3/15/25 | &nbsp;&nbsp;3.72% — Quarterly | 3 month AUD-BBR-BBSW — Quarterly | 27175 |
|  | CAD | 4477000 | 16070 ***<sup>(E)</sup>*** | 18490 | 3/15/25 | &nbsp;&nbsp;4.15% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 34560 |
|  | CAD | 845000 | 24982 ***<sup>(E)</sup>*** | (13892) | 3/15/33 | &nbsp;&nbsp;3.24% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 11090 |
|  | CHF | 1508000 | 83355 ***<sup>(E)</sup>*** | 2498 | 3/15/33 | &nbsp;&nbsp;Swiss Average Rate Overnight — Annually | 1.55% — Annually | (80857) |
|  | EUR | 512400 | 58865 ***<sup>(E)</sup>*** | (20) | 11/29/58 | &nbsp;&nbsp;1.484% — Annually | 6 month EUR-EURIBOR — Semiannually | 58845 |
|  | EUR | 696900 | 176548 | (27) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.354% — Annually | (170325) |
|  | EUR | 770000 | 208914 | (29) | 3/11/50 | &nbsp;&nbsp;1.267% — Annually | 6 month EUR-EURIBOR — Semiannually | 204177 |
|  | EUR | 778400 | 219908 | (30) | 3/12/50 | &nbsp;&nbsp;1.2115% — Annually | 6 month EUR-EURIBOR — Semiannually | 215552 |
|  | EUR | 898100 | 271962 | (34) | 3/26/50 | &nbsp;&nbsp;1.113% — Annually | 6 month EUR-EURIBOR — Semiannually | 268583 |
|  | EUR | 802800 | 113684 ***<sup>(E)</sup>*** | (30) | 11/29/58 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.343% — Annually | (113715) |
|  | EUR | 929000 | 292059 | (36) | 2/19/50 | &nbsp;&nbsp;1.051% — Annually | 6 month EUR-EURIBOR — Semiannually | 286151 |
|  | EUR | 741300 | 210379 ***<sup>(E)</sup>*** | (28) | 6/7/54 | &nbsp;&nbsp;1.054% — Annually | 6 month EUR-EURIBOR — Semiannually | 210351 |
|  | EUR | 676400 | 232747 | (26) | 2/19/50 | &nbsp;&nbsp;0.9035% — Annually | 6 month EUR-EURIBOR — Semiannually | 229316 |
|  | EUR | 395500 | 144367 | (15) | 2/21/50 | &nbsp;&nbsp;0.80% — Annually | 6 month EUR-EURIBOR — Semiannually | 142801 |
|  | EUR | 1468500 | 583604 ***<sup>(E)</sup>*** | (56) | 8/8/54 | &nbsp;&nbsp;0.49% — Annually | 6 month EUR-EURIBOR — Semiannually | 583548 |
|  | EUR | 906000 | 417986 ***<sup>(E)</sup>*** | (34) | 6/6/54 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.207% — Annually | (418020) |
|  | EUR | 1215200 | 582308 | (46) | 2/19/50 | &nbsp;&nbsp;0.233% — Annually | 6 month EUR-EURIBOR — Semiannually | 583262 |
|  | EUR | 4960100 | 2015076 | (187) | 2/19/50 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.595% — Annually | (2003663) |
|  | EUR | 574000 | 278070 ***<sup>(E)</sup>*** | (21) | 3/4/54 | &nbsp;&nbsp;0.134% — Annually | 6 month EUR-EURIBOR — Semiannually | 278049 |
|  | EUR | 260400 | 145778 ***<sup>(E)</sup>*** | (10) | 3/13/54 | &nbsp;&nbsp;— | 0.2275% plus 6 month EUR-EURIBOR — Semiannually | 145768 |
|  | EUR | 1696600 | 329046 ***<sup>(E)</sup>*** | (36) | 5/13/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.276% — Annually | (329082) |
|  | EUR | 833300 | 157992 ***<sup>(E)</sup>*** | (18) | 6/24/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 157974 |
|  | EUR | 1129700 | 220332 ***<sup>(E)</sup>*** | (26) | 1/16/40 | &nbsp;&nbsp;0.315% — Annually | 6 month EUR-EURIBOR — Semiannually | 220306 |
|  | EUR | 388100 | 74692 ***<sup>(E)</sup>*** | (9) | 3/28/40 | &nbsp;&nbsp;0.3175% — Annually | 6 month EUR-EURIBOR — Semiannually | 74683 |
|  | EUR | 1055800 | 451801 | (43) | 5/21/51 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.516% — Annually | (451403) |
|  | EUR | 1088000 | 258319 | (19) | 6/14/31 | &nbsp;&nbsp;0.171% — Annually | 6 month EUR-EURIBOR — Semiannually | 258729 |
|  | EUR | 924200 | 228402 | (16) | 7/15/31 | &nbsp;&nbsp;0.0675% — Annually | 6 month EUR-EURIBOR — Semiannually | 229700 |
|  | EUR | 311700 | 144314 | (13) | 9/14/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.374% — Annually | (145407) |
|  | EUR | 2980000 | 649759 | (48) | 3/7/32 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 0.60% — Annually | (647640) |
|  | EUR | 1979000 | 41394 ***<sup>(E)</sup>*** | (31) | 2/2/36 | &nbsp;&nbsp;2.875% — Annually | 6 month EUR-EURIBOR — Semiannually | 41363 |
|  | EUR | 3328000 | 165405 | (50) | 9/8/32 | &nbsp;&nbsp;2.615% — Annually | 6 month EUR-EURIBOR — Semiannually | 152070 |
|  | EUR | 12135300 | 434653 ***<sup>(E)</sup>*** | (46) | 6/28/25 | &nbsp;&nbsp;1.718% — Annually | 6 month EUR-EURIBOR — Semiannually | 434607 |
|  | EUR | 1086000 | 206950 | (37) | 8/29/52 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.636% — Annually | (204648) |
|  | EUR | 4028500 | 262878 ***<sup>(E)</sup>*** | (46) | 9/12/29 | &nbsp;&nbsp;1.71% — Annually | 6 month EUR-EURIBOR — Semiannually | 262832 |
|  | EUR | 13022000 | 1093546 | (125) | 9/2/27 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 1.372% — Annually | (1087198) |
|  | EUR | 471400 | 39874 ***<sup>(E)</sup>*** | (16) | 6/6/54 | &nbsp;&nbsp;2.005% — Annually | 6 month EUR-EURIBOR — Semiannually | 39858 |
|  | EUR | 696000 | 50089 ***<sup>(E)</sup>*** | (24) | 6/7/54 | &nbsp;&nbsp;2.065% — Annually | 6 month EUR-EURIBOR — Semiannually | 50065 |
|  | EUR | 1842600 | 24655 ***<sup>(E)</sup>*** | (27) | 2/18/36 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.285% — Annually | 24628 |
|  | EUR | 471400 | 6131 ***<sup>(E)</sup>*** | (9) | 8/22/39 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | 6122 |
|  | EUR | 10780600 | 27581 ***<sup>(E)</sup>*** | (73) | 6/26/28 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.26% — Annually | 27508 |
|  | EUR | 865300 | 11263 ***<sup>(E)</sup>*** | (17) | 3/28/40 | &nbsp;&nbsp;6 month EUR-EURIBOR — Semiannually | 3.09% — Annually | 11247 |
|  | EUR | 704000 | 37853 ***<sup>(E)</sup>*** | 699 | 3/15/33 | &nbsp;&nbsp;2.625% — Annually | 6 month EUR-EURIBOR — Semiannually | 38552 |
|  | EUR | 8416000 | 102702 ***<sup>(E)</sup>*** | 78 | 3/15/25 | &nbsp;&nbsp;2.90% — Annually | 6 month EUR-EURIBOR — Semiannually | 102779 |
|  | GBP | 703500 | 182066 | (14) | 5/19/31 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.754% — Annually | (187901) |
|  | GBP | 41615900 | 1193390 | 34472 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.84% — Annually | (1377105) |
|  | GBP | 41615900 | 1248229 | 51766 | 9/15/23 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 0.68% — Annually | (1442793) |
|  | GBP | 41615900 | 1303069 | (80821) | 9/15/23 | &nbsp;&nbsp;0.52% — Annually | Sterling Overnight Index Average — Annually | 1491550 |
|  | GBP | 16646400 | 446566 | (86) | 9/15/23 | &nbsp;&nbsp;1.065% — Annually | Sterling Overnight Index Average — Annually | 520587 |
|  | GBP | 7382000 | 167691 | (111) | 9/21/32 | &nbsp;&nbsp;3.522% — Annually | Sterling Overnight Index Average — Annually | 145605 |
|  | GBP | 751000 | 4912 ***<sup>(E)</sup>*** | (16) | 1/14/40 | &nbsp;&nbsp;3.306% — Annually | Sterling Overnight Index Average — Annually | 4896 |
|  | GBP | 387000 | 2686 ***<sup>(E)</sup>*** | (8) | 8/20/39 | &nbsp;&nbsp;3.299% — Annually | Sterling Overnight Index Average — Annually | 2677 |
|  | GBP | 24583000 | 523362 | (103) | 11/7/24 | &nbsp;&nbsp;5.495% — Annually | Sterling Overnight Index Average — Annually | (641074) |
|  | GBP | 9834000 | 570544 | (156) | 11/9/32 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 4.35% — Annually | 594770 |
|  | GBP | 552800 | 17389 ***<sup>(E)</sup>*** | (12) | 2/26/39 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.778% — Annually | 17377 |
|  | GBP | 2250000 | 11370 ***<sup>(E)</sup>*** | 244 | 3/15/25 | &nbsp;&nbsp;4.29% — Annually | Sterling Overnight Index Average — Annually | 11614 |
|  | GBP | 595000 | 17062 ***<sup>(E)</sup>*** | (19) | 3/15/33 | &nbsp;&nbsp;Sterling Overnight Index Average — Annually | 3.45% — Annually | (17082) |
|  | NOK | 8900000 | 24756 ***<sup>(E)</sup>*** | (2080) | 3/15/33 | &nbsp;&nbsp;6 month NOK-NIBOR-NIBR — Semiannually | 2.965% — Annually | (26835) |
|  | NZD | 1397000 | 31593 ***<sup>(E)</sup>*** | (1467) | 3/15/33 | &nbsp;&nbsp;3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | (33060) |
|  | SEK | 25823000 | 130020 ***<sup>(E)</sup>*** | 3778 | 3/15/33 | &nbsp;&nbsp;2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 133790 |
|  | **Total** |  |  | **$(1386829)** |  |  |  | **$7314140** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;&nbsp;&nbsp;**Payments received<br>(paid) by fund** | **Total return received by or paid by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| $1075356 | $952979 | $— | 9/29/25 | &nbsp;&nbsp;&nbsp;&nbsp;(0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/2025 — Annually | $(111201) |
| 1032736 | 984262 |  | 7/17/24 | &nbsp;&nbsp;&nbsp;&nbsp;3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019-01, 07/10/24 — Quarterly | (48309) |
| **Upfront premium received** | **Upfront premium received** | **—** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | &nbsp;&nbsp;**Unrealized appreciation** | **—** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **—** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | &nbsp;&nbsp;**Unrealized (depreciation)** | **(159510)** |
|  | **Total** | **$—** |  |  | **Total** | **$(159510)** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB-/P | $4375 | $40550 | $9943 | 5/11/63 | 300 bp — Monthly | $(5543) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB-/P | 3933 | 43718 | 10720 | 5/11/63 | 300 bp — Monthly | (6760) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | &nbsp;&nbsp;BB-/P | 5424 | 57023 | 13982 | 5/11/63 | 300 bp — Monthly | (8523) |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 5372 | 20641 | 2778 | 5/11/63 | 200 bp — Monthly | 2602 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 5963 | 21559 | 2902 | 5/11/63 | 200 bp — Monthly | 3071 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 7354 | 24311 | 3272 | 5/11/63 | 200 bp — Monthly | 4092 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 10961 | 32567 | 4384 | 5/11/63 | 200 bp — Monthly | 6591 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 12898 | 35319 | 4754 | 5/11/63 | 200 bp — Monthly | 8159 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 11798 | 35778 | 4816 | 5/11/63 | 200 bp — Monthly | 6997 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 28477 | 73849 | 9940 | 5/11/63 | 200 bp — Monthly | 18568 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 20798 | 81188 | 10928 | 5/11/63 | 200 bp — Monthly | 9904 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | 48213 | 133021 | 17905 | 5/11/63 | 200 bp — Monthly | 30365 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | 77970 | 138000 | 29546 | 11/18/54 | 500 bp — Monthly | 48558 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 6698 | 67000 | 17668 | 12/16/72 | 500 bp — Monthly | (10904) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 16037 | 176000 | 46411 | 12/16/72 | 500 bp — Monthly | (30203) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 26330 | 279000 | 73572 | 12/16/72 | 500 bp — Monthly | (46971) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 48322 | 530000 | 139761 | 12/16/72 | 500 bp — Monthly | (90924) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 13266 | 121000 | 28895 | 12/16/72 | 500 bp — Monthly | (15511) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 114187 | 194855 | 74552 | 5/11/63 | 500 bp — Monthly | 39825 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 119351 | 568840 | 217638 | 5/11/63 | 500 bp — Monthly | (97734) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 64660 | 1267000 | 422671 | 1/17/47 | 500 bp — Monthly | (356783) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 3258 | 16000 | 4979 | 9/17/58 | 500 bp — Monthly | (1706) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 32267 | 158000 | 49170 | 9/17/58 | 500 bp — Monthly | (16749) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 12532 | 101000 | 17503 | 11/17/59 | 300 bp — Monthly | (4912) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 20182 | 185000 | 32061 | 11/17/59 | 300 bp — Monthly | (11770) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 3883 | 62000 | 9412 | 11/18/54 | 300 bp — Monthly | (5492) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 976 | 22000 | 4092 | 12/16/72 | 300 bp — Monthly | (3103) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 1336 | 27000 | 5022 | 12/16/72 | 300 bp — Monthly | (3670) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 935 | 30000 | 5580 | 12/16/72 | 300 bp — Monthly | (4628) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 1209 | 37000 | 6882 | 12/16/72 | 300 bp — Monthly | (5651) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 1626 | 50000 | 9300 | 12/16/72 | 300 bp — Monthly | (7645) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 4250 | 85000 | 15810 | 12/16/72 | 300 bp — Monthly | (11510) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 5223 | 50000 | 9585 | 11/18/64 | 300 bp — Monthly | (4333) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15Index | &nbsp;&nbsp;BBB-/P | 2039 | 12000 | 2300 | 11/18/64 | 300 bp — Monthly | (254) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 30497 | 228000 | 76061 | 1/17/47 | 500 bp — Monthly | (45342) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 51226 | 780000 | 166998 | 1/17/47 | 300 bp — Monthly | (115317) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 106107 | 212631 | 81353 | 5/11/63 | 500 bp — Monthly | 24961 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 121547 | 252286 | 96525 | 5/11/63 | 500 bp — Monthly | 25267 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 4448 | 11000 | 3423 | 9/17/58 | 500 bp — Monthly | 1036 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 1900 | 12000 | 2436 | 12/16/72 | 300 bp — Monthly | (529) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 1906 | 32000 | 6496 | 12/16/72 | 300 bp — Monthly | (4571) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 2443 | 38000 | 7714 | 12/16/72 | 300 bp — Monthly | (5249) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 2484 | 42000 | 8526 | 12/16/72 | 300 bp — Monthly | (6017) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 7522 | 48000 | 9744 | 12/16/72 | 300 bp — Monthly | (2194) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 4148 | 66000 | 13398 | 12/16/72 | 300 bp — Monthly | (9211) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 5981 | 130000 | 26390 | 12/16/72 | 300 bp — Monthly | (20333) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 25508 | 149000 | 27714 | 12/16/72 | 300 bp — Monthly | (2119) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 62290 | 410000 | 76260 | 12/16/72 | 300 bp — Monthly | (13731) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 808 | 13000 | 2492 | 11/18/64 | 300 bp — Monthly | (1677) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 8411 | 91000 | 17445 | 11/18/64 | 300 bp — Monthly | (8980) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 8103 | 91000 | 17445 | 11/18/64 | 300 bp — Monthly | (9289) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 26578 | 312000 | 66799 | 1/17/47 | 300 bp — Monthly | (40040) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 90359 | 1040000 | 222664 | 1/17/47 | 300 bp — Monthly | (131698) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | &nbsp;&nbsp;B/P | 9629 | 120000 | 38256 | 5/11/63 | 500 bp — Monthly | (28511) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 16787 | 127000 | 25781 | 12/16/72 | 300 bp — Monthly | (8920) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 17933 | 115000 | 18285 | 10/17/57 | 300 bp — Monthly | (285) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 13977 | 85463 | 32698 | 5/11/63 | 500 bp — Monthly | (18638) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 182 | 2000 | 527 | 12/16/72 | 500 bp — Monthly | (343) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 4929 | 53000 | 13976 | 12/16/72 | 500 bp — Monthly | (8995) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 6326 | 66000 | 17404 | 12/16/72 | 500 bp — Monthly | (11014) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 7574 | 82000 | 21623 | 12/16/72 | 500 bp — Monthly | (13969) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 25708 | 280000 | 73836 | 12/16/72 | 500 bp — Monthly | (47856) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 4741 | 26664 | 10202 | 5/11/63 | 500 bp — Monthly | (5435) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 8676 | 32818 | 12556 | 5/11/63 | 500 bp — Monthly | (3848) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 63000 | 102555 | 39238 | 5/11/63 | 500 bp — Monthly | 23862 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 116279 | 187334 | 71674 | 5/11/63 | 500 bp — Monthly | 44787 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 102255 | 206478 | 78998 | 5/11/63 | 500 bp — Monthly | 23457 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 18593 | 113000 | 21018 | 12/16/72 | 300 bp — Monthly | (2359) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 62590 | 377000 | 70122 | 12/16/72 | 300 bp — Monthly | (7312) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 35159 | 223000 | 42749 | 11/18/64 | 300 bp — Monthly | (7460) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | &nbsp;&nbsp;BB+/P | 874 | 9000 | 1697 | 9/17/58 | 300 bp — Monthly | (818) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **1819581** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **322102** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **—** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(1333339)** |
|  | **Total** |  | **$1819581** |  |  |  | **Total** | **$(1011237)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | $(95717) | $397000 | $126564 | 11/17/59 | (500 bp) — Monthly | $30460 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (65025) | 255000 | 81294 | 11/17/59 | (500 bp) — Monthly | 16021 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (14611) | 140000 | 44632 | 11/17/59 | (500 bp) — Monthly | 29885 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (12500) | 114000 | 36343 | 11/17/59 | (500 bp) — Monthly | 23732 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (13993) | 108000 | 23123 | 11/18/54 | (500 bp) — Monthly | 9025 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (1556) | 30000 | 6423 | 11/18/54 | (500 bp) — Monthly | 4838 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (36522) | 102429 | 36977 | 10/17/57 | (500 bp) — Monthly | 355 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (8940) | 69575 | 25116 | 10/17/57 | (500 bp) — Monthly | 16109 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (47799) | 278000 | 48177 | 11/17/59 | (300 bp) — Monthly | 217 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (55015) | 237000 | 41072 | 11/17/59 | (300 bp) — Monthly | (14081) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (28062) | 221000 | 38299 | 11/17/59 | (300 bp) — Monthly | 10108 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (24448) | 112000 | 19410 | 11/17/59 | (300 bp) — Monthly | (5104) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (23069) | 106000 | 18370 | 11/17/59 | (300 bp) — Monthly | (4761) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (14314) | 60000 | 10398 | 11/17/59 | (300 bp) — Monthly | (3951) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (6246) | 49000 | 8492 | 11/17/59 | (300 bp) — Monthly | 2217 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4717) | 37000 | 6412 | 11/17/59 | (300 bp) — Monthly | 1674 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (3793) | 31000 | 5372 | 11/17/59 | (300 bp) — Monthly | 1562 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (68500) | 205000 | 37064 | 8/17/61 | (300 bp) — Monthly | (31556) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (67433) | 194000 | 35075 | 8/17/61 | (300 bp) — Monthly | (32471) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (13080) | 190000 | 34352 | 8/17/61 | (300 bp) — Monthly | 21161 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (51320) | 146000 | 26397 | 8/17/61 | (300 bp) — Monthly | (25008) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (21794) | 124000 | 22419 | 8/17/61 | (300 bp) — Monthly | 553 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (17158) | 101000 | 18261 | 8/17/61 | (300 bp) — Monthly | 1044 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (240) | 4000 | 723 | 8/17/61 | (300 bp) — Monthly | 481 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (6199) | 106000 | 21518 | 12/16/72 | (300 bp) — Monthly | 15257 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (2546) | 50000 | 10150 | 12/16/72 | (300 bp) — Monthly | 7575 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (1971) | 36000 | 7308 | 12/16/72 | (300 bp) — Monthly | 5316 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (202) | 4000 | 812 | 12/16/72 | (300 bp) — Monthly | 608 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.6 Index | (41772) | 141291 | 34645 | 5/11/63 | 300 bp — Monthly | (7214) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (28200) | 188000 | 29892 | 10/17/57 | (300 bp) — Monthly | 1582 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (7631) | 55000 | 8745 | 10/17/57 | (300 bp) — Monthly | 1082 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (7354) | 53000 | 8427 | 10/17/57 | (300 bp) — Monthly | 1042 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (4268) | 27000 | 4293 | 10/17/57 | (300 bp) — Monthly | 9 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (4495) | 19000 | 3583 | 9/17/58 | (300 bp) — Monthly | (923) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (38693) | 290000 | 92452 | 11/17/59 | (500 bp) — Monthly | 53477 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (34367) | 289000 | 92133 | 11/17/59 | (500 bp) — Monthly | 57485 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (18893) | 152000 | 48458 | 11/17/59 | (500 bp) — Monthly | 29416 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (61796) | 335000 | 111756 | 1/17/47 | (500 bp) — Monthly | 49634 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (4770) | 29000 | 9674 | 1/17/47 | (500 bp) — Monthly | 4876 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (13345) | 62382 | 8397 | 5/11/63 | (200 bp) — Monthly | (4975) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (7995) | 37613 | 5063 | 5/11/63 | (200 bp) — Monthly | (2948) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (7359) | 34402 | 4630 | 5/11/63 | (200 bp) — Monthly | (2744) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4240) | 29356 | 3951 | 5/11/63 | (200 bp) — Monthly | (301) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (5333) | 24311 | 3272 | 5/11/63 | (200 bp) — Monthly | (2071) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4747) | 22476 | 3025 | 5/11/63 | (200 bp) — Monthly | (1731) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4263) | 20182 | 2717 | 5/11/63 | (200 bp) — Monthly | (1555) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4263) | 20182 | 2717 | 5/11/63 | (200 bp) — Monthly | (1555) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4246) | 19724 | 2655 | 5/11/63 | (200 bp) — Monthly | (1600) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (4246) | 19724 | 2655 | 5/11/63 | (200 bp) — Monthly | (1600) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (3758) | 16972 | 2284 | 5/11/63 | (200 bp) — Monthly | (1481) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (2934) | 13761 | 1852 | 5/11/63 | (200 bp) — Monthly | (1088) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (2934) | 13761 | 1852 | 5/11/63 | (200 bp) — Monthly | (1088) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (1789) | 8256 | 1111 | 5/11/63 | (200 bp) — Monthly | (681) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (163) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (40) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (174) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (51) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (79) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (17) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (86) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (24) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (96) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (35) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (1023) | 6837 | 2616 | 5/11/63 | (500 bp) — Monthly | 1586 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (25560) | 156000 | 52042 | 1/17/47 | (500 bp) — Monthly | 26330 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (18621) | 102000 | 34027 | 1/17/47 | (500 bp) — Monthly | 15307 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (10442) | 69000 | 23018 | 1/17/47 | (500 bp) — Monthly | 12510 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (10866) | 29956 | 10814 | 10/17/57 | (500 bp) — Monthly | (81) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (3959) | 10629 | 3837 | 10/17/57 | (500 bp) — Monthly | (133) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (8968) | 46000 | 8317 | 8/17/61 | (300 bp) — Monthly | (678) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (5404) | 16000 | 2893 | 8/17/61 | (300 bp) — Monthly | (2520) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (9245) | 122000 | 24766 | 12/16/72 | (300 bp) — Monthly | 15450 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (11019) | 64675 | 8705 | 5/11/63 | (200 bp) — Monthly | (2341) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (320235) | 654000 | 218174 | 1/17/47 | (500 bp) — Monthly | (102696) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (7049) | 64000 | 9715 | 11/18/54 | (300 bp) — Monthly | 2629 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (214338) | 913000 | 195473 | 1/17/47 | (300 bp) — Monthly | (19398) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (15875) | 279000 | 88945 | 11/17/59 | (500 bp) — Monthly | 72799 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (32451) | 396000 | 84784 | 1/17/47 | (300 bp) — Monthly | 52101 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (7508) | 35319 | 4754 | 5/11/63 | (200 bp) — Monthly | (2769) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (1458) | 6880 | 926 | 5/11/63 | (200 bp) — Monthly | (535) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (388) | 1835 | 247 | 5/11/63 | (200 bp) — Monthly | (141) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (195) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (72) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (193) | 917 | 123 | 5/11/63 | (200 bp) — Monthly | (70) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (96) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (34) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (86) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (24) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (91) | 459 | 62 | 5/11/63 | (200 bp) — Monthly | (29) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (33114) | 141000 | 44951 | 11/17/59 | (500 bp) — Monthly | 11700 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (14683) | 140000 | 44632 | 11/17/59 | (500 bp) — Monthly | 29813 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (40703) | 134000 | 42719 | 11/17/59 | (500 bp) — Monthly | 1886 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (23127) | 115000 | 38364 | 1/17/47 | (500 bp) — Monthly | 15125 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (17547) | 91000 | 30358 | 1/17/47 | (500 bp) — Monthly | 12722 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (11040) | 59000 | 19682 | 1/17/47 | (500 bp) — Monthly | 8585 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (6055) | 30000 | 10008 | 1/17/47 | (500 bp) — Monthly | 3924 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (3952) | 65000 | 20228 | 9/17/58 | (500 bp) — Monthly | 16213 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (7997) | 53000 | 16494 | 9/17/58 | (500 bp) — Monthly | 8445 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (4238) | 31000 | 9647 | 9/17/58 | (500 bp) — Monthly | 5379 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (743) | 19000 | 5913 | 9/17/58 | (500 bp) — Monthly | 5152 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (1968) | 13000 | 4046 | 9/17/58 | (500 bp) — Monthly | 2065 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (246) | 4000 | 1245 | 9/17/58 | (500 bp) — Monthly | 995 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (19495) | 158000 | 27381 | 11/17/59 | (300 bp) — Monthly | 7794 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (17456) | 136000 | 23569 | 11/17/59 | (300 bp) — Monthly | 6033 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (11085) | 128000 | 22182 | 11/17/59 | (300 bp) — Monthly | 11023 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (8751) | 69000 | 11958 | 11/17/59 | (300 bp) — Monthly | 3166 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (7908) | 66000 | 11438 | 11/17/59 | (300 bp) — Monthly | 3491 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (4987) | 23000 | 3986 | 11/17/59 | (300 bp) — Monthly | (1014) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (3929) | 18000 | 3119 | 11/17/59 | (300 bp) — Monthly | (820) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (3121) | 10000 | 1518 | 11/18/54 | (300 bp) — Monthly | (1609) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (277) | 5000 | 904 | 8/17/61 | (300 bp) — Monthly | 624 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | (8074) | 131000 | 26593 | 12/16/72 | (300 bp) — Monthly | 18443 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (14539) | 229000 | 49029 | 1/17/47 | (300 bp) — Monthly | 34358 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | (17831) | 175000 | 37468 | 1/17/47 | (300 bp) — Monthly | 19535 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **821984** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(2018995)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(285618)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(2018995)** |  |  |  | **Total** | **$536366** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** |
|  | **Referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | CDX NA HY Series 38 Index | &nbsp;&nbsp;B+/P | $23518 | $5599440 | $117644 | 6/20/27 | 500 bp — Quarterly | $150496 |
|  | **Total** |  | **$23518** |  |  |  |  | **$150496** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | |
|:---|:---|:---|
|  | ***Key to holding's currency abbreviations*** | ***Key to holding's currency abbreviations*** |
| AUD | Australian Dollar | Australian Dollar |
| CAD | Canadian Dollar | Canadian Dollar |
| CHF | Swiss Franc | Swiss Franc |
| EUR | Euro | Euro |
| GBP | British Pound | British Pound |
| NOK | Norwegian Krone | Norwegian Krone |
| NZD | New Zealand Dollar | New Zealand Dollar |
| SEK | Swedish Krona | Swedish Krona |
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| CME | Chicago Mercantile Exchange | Chicago Mercantile Exchange |
| DAC | Designated Activity Company | Designated Activity Company |
| EMTN | Euro Medium Term Notes | Euro Medium Term Notes |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| ICE | Intercontinental Exchange | Intercontinental Exchange |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only | Interest Only |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| REMIC | Real Estate Mortgage Investment Conduit | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $177,642,726. | Percentages indicated are based on net assets of $177,642,726. |
| ***<sup>(NON)</sup>*** | This security is non-income-producing. | This security is non-income-producing. |
| ***<sup>(AFF)</sup>*** | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Shares outstanding<br>and fair<br>value as of<br>12/31/22** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\* | $20068209 |
|  | **Total Short-term investments** | **$20068209** |
|  | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $424,099. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $424,099. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $1,114,547. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $1,114,547. |
| ***<sup>(SEGTBA)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $329,208. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $329,208. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,226,926. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,226,926. |
| ***<sup>(c)</sup>*** | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. |
|  | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. |
| ***<sup>(F)</sup>*** | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(R)</sup>*** | Real Estate Investment Trust. | Real Estate Investment Trust. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | Debt obligations are considered secured unless otherwise indicated. | Debt obligations are considered secured unless otherwise indicated. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. |
|  | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
|  | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $11,679,479 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. | **Repurchase agreements:** The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $11,679,479 at the end of the reporting period, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies. | **Forward currency contracts:** The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies. |
|  | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. |
|  | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. | **Total return swap contracts:** The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation. |
|  | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk and for gaining exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk and for gaining exposure to specific sectors. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $1,435,251 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,114,547 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $1,435,251 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,114,547 and may include amounts related to unsettled agreements. |

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| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| **Common stocks\*:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Utilities and power | &nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$11293 | &nbsp;&nbsp;&nbsp;&nbsp;$— |
| **Total common stocks** | **—** | **11293** | **—** |
| Asset-backed securities |  | 1128859 |  |
| Convertible bonds and notes |  | 6694093 |  |
| Corporate bonds and notes |  | 32403856 |  |
| Foreign government and agency bonds and notes |  | 14092151 |  |
| Mortgage-backed securities |  | 69684929 |  |
| Purchased options outstanding |  | 281360 |  |
| Senior loans |  | 3903750 |  |
| U.S. government and agency mortgage obligations |  | 107826929 |  |
| U.S. treasury obligations |  | 1533780 |  |
| Warrants |  |  |  |
| Short-term investments | 2978000 | 45299520 |  |
| **Totals by level** | **$2978000** | **$282860520** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Forward currency contracts | $— | $(163034) | $— |
| Futures contracts | (98299) |  |  |
| Written options outstanding |  | (446240) |  |
| Forward premium swap option contracts |  | 3895943 |  |
| TBA sale commitments |  | (31585469) |  |
| Interest rate swap contracts |  | 8700969 |  |
| Total return swap contracts |  | (159510) |  |
| Credit default contracts |  | (148479) |  |
| **Totals by level** | **$(98299)** | **$(19905820)** | **$—** |
| \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | \* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. |
| At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased TBA commitment option contracts (contract amount) | $36300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $576400000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written TBA commitment option contracts (contract amount) | $36300000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written swap option contracts (contract amount) | $273700000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 200 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Forward currency contracts (contract amount) | $18400000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $1548500000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC total return swap contracts (notional) | $2100000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $23400000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared credit default contracts (notional) | $5200000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Warrants (number of warrants) | 30 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Master Intermediate Income Trust

- **b. Investment Company Act file number:** 811-05498

- **c. CIK number of Registrant:** 0000830622

- **d. LEI of Registrant:** QYQERD8ESA0ALFI8LA12

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Master Intermediate Income Trust

- **c. LEI of Series:** QYQERD8ESA0ALFI8LA12

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

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $332716396.40

**Total Liabilities:** $155097092.54

**Net Assets:** $177619303.69

**Cash Not Reported:** $981054.53

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -529.93 | **1-Year:** 6599.75 | **5-Year:** 12558.6 | **10-Year:** 17627.22 | **30-Year:** 6265.92

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

- **3-Month:** 115.5 | **1-Year:** 2489.14 | **5-Year:** 8833.7 | **10-Year:** 2999.11 | **30-Year:** 5.79

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -3.55%               | 1.56%                | 2.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1949340.59              | $-3129274.67                               |
| Month 2  | $-708891.36              | $5802783.98                                |
| Month 3  | $-3386858.60             | $3675085.73                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2006-8                                               | ASSET BACKED SECURITY                 | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478393 | PA      | $119454.00    | 0.07%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                           | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    636000 | PA      | $541026.25    | 0.30%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                            | ASSET BACKED SECURITY                 | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $184420.39    | 0.10%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                           | ASSET BACKED SECURITY                 | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    736571 | PA      | $604853.99    | 0.34%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BWAY CORP                                                                   | BANK LOAN NOTE                        | CUSIP: 05604XAP1<br>LEI: 549300RY13CUZRBP7216 | Long             | DBT              | CORP              | US        |    156675 | PA      | $152780.51    | 0.09%             | 2024-04-03      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: EM7QGKC1GYOF3LSZSL80       | Long             | DBT              | CORP              | US        |    472000 | PA      | $466397.36    | 0.26%             | 2029-12-08      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| WERNER FINCO LP                                                             | BANK LOAN NOTE                        | CUSIP: 95075EAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34083 | PA      | $30560.76     | 0.02%             | 2024-07-24      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| ROBERTSHAW US HOLDING CORP                                                  | BANK LOAN NOTE                        | CUSIP: 77051UAH2<br>LEI: 549300NMXRV2JIXFIY04 | Long             | DBT              | CORP              | US        |     74000 | PA      | $38110.00     | 0.02%             | 2026-02-28      | Floating      | 12.75%                | No            |                  2 | On Loan: No      |
| TAMKO BUILDING PRODUCTS LLC                                                 | BANK LOAN NOTE                        | CUSIP: 87510EAB5<br>LEI: 5493003VQCGZ0AORLH30 | Long             | DBT              | CORP              | US        |    256257 | PA      | $246967.58    | 0.14%             | 2026-05-29      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                          | BANK LOAN NOTE                        | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    229200 | PA      | $208326.30    | 0.12%             | 2026-08-21      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| FOREST CITY ENTERPRISES LP                                                  | BANK LOAN NOTE                        | CUSIP: 34555QAF7<br>LEI: 54930078MCT017XXRD21 | Long             | DBT              | CORP              | US        |     85714 | PA      | $82312.28     | 0.05%             | 2025-12-07      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                    | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300SHPNDCE059M934       | Long             | DBT              | CORP              | US        |     59006 | PA      | $56562.59     | 0.03%             | 2027-02-04      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                    | BANK LOAN NOTE                        | CUSIP: 45174UAG3<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |     71328 | PA      | $65554.74     | 0.04%             | 2026-05-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE INC                                                 | BANK LOAN NOTE                        | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | DBT              | CORP              | US        |     72702 | PA      | $50664.60     | 0.03%             | 2025-10-02      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| GENESYS CLOUD SERVICES HOLDINGS II LLC                                      | BANK LOAN NOTE                        | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | DBT              | CORP              | US        |    176850 | PA      | $169445.29    | 0.10%             | 2027-12-01      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300FYK4MBXWIVZU26       | Long             | DBT              | CORP              | CA        |    193336 | PA      | $193281.65    | 0.11%             | 2025-05-31      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| CMG MEDIA CORP                                                              | BANK LOAN NOTE                        | CUSIP: 88145LAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    121707 | PA      | $113687.88    | 0.06%             | 2026-12-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                                | BANK LOAN NOTE                        | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     54723 | PA      | $53440.21     | 0.03%             | 2028-01-29      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                 | BANK LOAN NOTE                        | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |     29549 | PA      | $25800.00     | 0.01%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                       | BANK LOAN NOTE                        | CUSIP: 02376CBJ3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54699.15     | 0.03%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| ADIENT US LLC                                                               | BANK LOAN NOTE                        | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | DBT              | CORP              | US        |     73875 | PA      | $72974.46     | 0.04%             | 2028-04-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| ONE CALL CORP                                                               | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 549300WUCCV86ZQHG041       | Long             | DBT              | CORP              | US        |     66650 | PA      | $54431.09     | 0.03%             | 2027-04-22      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | BANK LOAN NOTE                        | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    112988 | PA      | $111355.96    | 0.06%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP                                                               | BANK LOAN NOTE                        | CUSIP: 12657QAB9<br>LEI: 549300LPL012JY5D4B69 | Long             | DBT              | CORP              | US        |     93812 | PA      | $93252.44     | 0.05%             | 2028-05-27      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                        | BANK LOAN NOTE                        | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |    173250 | PA      | $155438.17    | 0.09%             | 2026-06-29      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                       | BANK LOAN NOTE                        | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    262800 | PA      | $255299.69    | 0.14%             | 2027-07-22      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VISION SOLUTIONS INC                                                        | BANK LOAN NOTE                        | CUSIP: 70477BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    204482 | PA      | $168902.40    | 0.10%             | 2028-04-24      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                                         | BANK LOAN NOTE                        | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    211027 | PA      | $203717.23    | 0.11%             | 2027-10-19      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                    | BANK LOAN NOTE                        | CUSIP: 25277BAG3<br>LEI: 5493002K6DHWNZH8YA34 | Long             | DBT              | CORP              | US        |     96772 | PA      | $11612.70     | 0.01%             | 2026-08-24      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                              | BANK LOAN NOTE                        | CUSIP: 74345HAD3<br>LEI: 529900C5FODDK0WSR085 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52616.85     | 0.03%             | 2029-08-31      | Floating      | 10.98%                | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAG6<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     68763 | PA      | $17190.83     | 0.01%             | 2027-03-31      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| ENVISION HEALTHCARE CORP                                                    | BANK LOAN NOTE                        | CUSIP: 29373UAF8<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |     28083 | PA      | $9548.20      | 0.01%             | 2027-03-31      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                    | BANK LOAN NOTE                        | CUSIP: N/A<br>LEI: 04EEB871XLHVNY4RZJ65       | Long             | DBT              | CORP              | US        |    130000 | PA      | $115862.50    | 0.07%             | 2029-03-30      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                      | BANK LOAN NOTE                        | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | DBT              | CORP              | US        |    240000 | PA      | $240000.00    | 0.14%             | 2029-12-07      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                               | BANK LOAN NOTE                        | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |    383467 | PA      | $342244.06    | 0.19%             | 2024-06-21      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| TIAA REAL ESTATE CDO LTD                                                    | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 88631FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558952 | PA      | $5.59         | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6                                    | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 50179MAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462989 | PA      | $61.07        | 0.00%             | 2039-09-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| MEZZ CAP COMMERCIAL MORTGAGE TRUST                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 59317EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13487 | PA      | $0.13         | 0.00%             | 2049-12-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407000 | PA      | $226377.47    | 0.13%             | 2047-02-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    527000 | PA      | $353440.51    | 0.20%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602000 | PA      | $519943.19    | 0.29%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $1020797.50   | 0.57%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $212594.93    | 0.12%             | 2048-04-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303000 | PA      | $287317.05    | 0.16%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $583094.02    | 0.33%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244000 | PA      | $204567.48    | 0.12%             | 2058-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671000 | PA      | $549156.26    | 0.31%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $287573.09    | 0.16%             | 2048-06-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701000 | PA      | $615249.33    | 0.35%             | 2051-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445749 | PA      | $442809.87    | 0.25%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211000 | PA      | $190019.62    | 0.11%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NWPT                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252000 | PA      | $251212.50    | 0.14%             | 2024-09-09      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $319272.45    | 0.18%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BWAY 2022-26BW MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $388976.38    | 0.22%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| RREF 2012 LT1 LLC                                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 76243NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504000 | PA      | $487620.00    | 0.27%             | 2037-01-19      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144000 | PA      | $129234.67    | 0.07%             | 2047-06-10      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    567863 | PA      | $533157.55    | 0.30%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $224000.00    | 0.13%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    701000 | PA      | $647404.13    | 0.36%             | 2050-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $191363.02    | 0.11%             | 2053-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414000 | PA      | $276913.09    | 0.16%             | 2051-04-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $205017.93    | 0.12%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $247897.92    | 0.14%             | 2051-07-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285000 | PA      | $837727.87    | 0.47%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758000 | PA      | $519048.08    | 0.29%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277000 | PA      | $179302.10    | 0.10%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359000 | PA      | $242146.58    | 0.14%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253000 | PA      | $228520.25    | 0.13%             | 2048-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $196923.92    | 0.11%             | 2048-09-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $378197.55    | 0.21%             | 2059-01-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    745000 | PA      | $585865.77    | 0.33%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    889000 | PA      | $142649.56    | 0.08%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591000 | PA      | $416727.63    | 0.23%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $165382.80    | 0.09%             | 2046-08-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268000 | PA      | $215484.86    | 0.12%             | 2050-09-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319000 | PA      | $256029.08    | 0.14%             | 2050-08-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |    168221 | PA      | $154987.25    | 0.09%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11854 | PA      | $11438.98     | 0.01%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $73083.40     | 0.04%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409000 | PA      | $342852.88    | 0.19%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAE3<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |    184652 | PA      | $170803.12    | 0.10%             | 2045-03-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263000 | PA      | $202273.30    | 0.11%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $314014.80    | 0.18%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAQ8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    638000 | PA      | $634772.36    | 0.36%             | 2046-02-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    676000 | PA      | $593852.75    | 0.33%             | 2046-05-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17320DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $343731.50    | 0.19%             | 2046-04-10      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221000 | PA      | $187584.89    | 0.11%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $418934.58    | 0.24%             | 2046-04-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBC4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    485000 | PA      | $319886.65    | 0.18%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12625FBA3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $209117.50    | 0.12%             | 2046-03-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $62768.25     | 0.04%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    188000 | PA      | $75902.29     | 0.04%             | 2046-07-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC13                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    531000 | PA      | $243903.27    | 0.14%             | 2046-07-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $280205.73    | 0.16%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226000 | PA      | $216506.35    | 0.12%             | 2046-03-15      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294000 | PA      | $269152.91    | 0.15%             | 2047-01-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $6.22         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963000 | PA      | $672065.18    | 0.38%             | 2047-02-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $399134.46    | 0.22%             | 2047-04-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841000 | PA      | $520074.40    | 0.29%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C12                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92937FAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196000 | PA      | $187670.00    | 0.11%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   1006000 | PA      | $344454.40    | 0.19%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266000 | PA      | $242656.90    | 0.14%             | 2047-04-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MORTGAGE TRUST                                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126192AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392000 | PA      | $130144.00    | 0.07%             | 2044-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $135495.80    | 0.08%             | 2047-11-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496000 | PA      | $4960.00      | 0.00%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788000 | PA      | $474351.57    | 0.27%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $215730.00    | 0.12%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443000 | PA      | $318686.23    | 0.18%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $429312.82    | 0.24%             | 2047-09-15      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| WINNEBAGO INDUSTRIES INC                                                    | CONV. NOTE                            | CUSIP: 974637AB6<br>LEI: 549300B7OYKYJLTE3G11 | Long             | DBT              | CORP              | US        |     36000 | PA      | $37755.00     | 0.02%             | 2025-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                                              | CONV. NOTE                            | CUSIP: 48123VAD4<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70787.00     | 0.04%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MONGODB INC                                                                 | CONV. NOTE                            | CUSIP: 60937PAD8<br>LEI: 549300TPTG69WKWE1Z37 | Long             | DBT              | CORP              | US        |     46000 | PA      | $53935.00     | 0.03%             | 2026-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| PEGASYSTEMS INC                                                             | CONV. NOTE                            | CUSIP: 705573AB9<br>LEI: 549300FMCOKPL06FYN26 | Long             | DBT              | CORP              | US        |     72000 | PA      | $61695.00     | 0.03%             | 2025-03-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                                                         | CONV. NOTE                            | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |    140000 | PA      | $109732.00    | 0.06%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                        | CONV. NOTE                            | CUSIP: 09857LAN8<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |     82000 | PA      | $109216.13    | 0.06%             | 2025-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BURLINGTON STORES INC                                                       | CONV. NOTE                            | CUSIP: 122017AB2<br>LEI: 5299003Z37DVGKKC1W09 | Long             | DBT              | CORP              | US        |     51000 | PA      | $58650.00     | 0.03%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                       | CONV. NOTE                            | CUSIP: 844741BG2<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    116000 | PA      | $139316.00    | 0.08%             | 2025-05-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL VISION HOLDINGS INC                                                | CONV. NOTE                            | CUSIP: 63845RAB3<br>LEI: 549300JHURCBLI5ROA42 | Long             | DBT              | CORP              | US        |     37000 | PA      | $50767.13     | 0.03%             | 2025-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                                                  | CONV. NOTE                            | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |     86000 | PA      | $93525.00     | 0.05%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL INC                                                 | CONV. NOTE                            | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |     65000 | PA      | $69846.45     | 0.04%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ZILLOW GROUP INC                                                            | CONV. NOTE                            | CUSIP: 98954MAH4<br>LEI: 2549002XEELQDIR6FU05 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42795.00     | 0.02%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                                                   | CONV. NOTE                            | CUSIP: 338307AD3<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |     47000 | PA      | $43052.00     | 0.02%             | 2025-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TELADOC HEALTH INC                                                          | CONV. NOTE                            | CUSIP: 87918AAF2<br>LEI: 549300I2PVFBC9MFAC61 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53773.64     | 0.03%             | 2027-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TRUST INC                                               | CONV. NOTE                            | CUSIP: 09257WAC4<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |     58000 | PA      | $56876.25     | 0.03%             | 2023-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GUIDEWIRE SOFTWARE INC                                                      | CONV. NOTE                            | CUSIP: 40171VAA8<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69412.50     | 0.04%             | 2025-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                              | CONV. NOTE                            | CUSIP: 893830BJ7<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | US        |     96000 | PA      | $92280.00     | 0.05%             | 2023-01-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAJ0<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |     74000 | PA      | $77700.00     | 0.04%             | 2025-05-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| IRONWOOD PHARMACEUTICALS INC                                                | CONV. NOTE                            | CUSIP: 46333XAH1<br>LEI: 549300PC8MR6QHH6P296 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54531.25     | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                                                     | CONV. NOTE                            | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163710.00    | 0.09%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                | CONV. NOTE                            | CUSIP: 45784PAK7<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     69000 | PA      | $97428.00     | 0.05%             | 2026-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| VIAVI SOLUTIONS INC                                                         | CONV. NOTE                            | CUSIP: 925550AB1<br>LEI: 5493006K3E3N1QOBF092 | Long             | DBT              | CORP              | US        |     49000 | PA      | $49196.00     | 0.03%             | 2024-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEUROCRINE BIOSCIENCES INC                                                  | CONV. NOTE                            | CUSIP: 64125CAD1<br>LEI: 549300FECER0XBN49756 | Long             | DBT              | CORP              | US        |     42000 | PA      | $66213.00     | 0.04%             | 2024-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                                                      | CONV. NOTE                            | CUSIP: 472145AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    114000 | PA      | $112218.75    | 0.06%             | 2024-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONV. NOTE                            | CUSIP: 531229AB8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     38000 | PA      | $46797.00     | 0.03%             | 2023-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LANTHEUS HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 516544AA1<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |     54000 | PA      | $54372.60     | 0.03%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                         | CONV. NOTE                            | CUSIP: 05464CAA9<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |     48000 | PA      | $47568.00     | 0.03%             | 2027-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CONV. NOTE                            | CUSIP: 780153BP6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     99000 | PA      | $124344.00    | 0.07%             | 2025-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                                               | CONV. NOTE                            | CUSIP: 977852AC6<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |     66000 | PA      | $59433.00     | 0.03%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY INC/THE                                                  | CONV. NOTE                            | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |     67000 | PA      | $54898.13     | 0.03%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                                                         | CONV. NOTE                            | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |     91000 | PA      | $74074.00     | 0.04%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UPWORK INC                                                                  | CONV. NOTE                            | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |     72000 | PA      | $53989.87     | 0.03%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BEAUTY HEALTH CO/THE                                                        | CONV. NOTE                            | CUSIP: 88331LAA6<br>LEI: 5493001Z2JZQT4C63C50 | Long             | DBT              | CORP              | US        |     65000 | PA      | $49140.00     | 0.03%             | 2026-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IMPINJ INC                                                                  | CONV. NOTE                            | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |     57000 | PA      | $68400.00     | 0.04%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PERFICIENT INC                                                              | CONV. NOTE                            | CUSIP: 71375UAF8<br>LEI: 549300HTBXKL2755T650 | Long             | DBT              | CORP              | US        |     34000 | PA      | $26265.00     | 0.01%             | 2026-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HBJ9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     82000 | PA      | $58835.00     | 0.03%             | 2027-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONMED CORP                                                                 | CONV. NOTE                            | CUSIP: 207410AG6<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |     38000 | PA      | $34618.00     | 0.02%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HALOZYME THERAPEUTICS INC                                                   | CONV. NOTE                            | CUSIP: 40637HAD1<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145218.75    | 0.08%             | 2027-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                                                    | CONV. NOTE                            | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |     69000 | PA      | $60478.50     | 0.03%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                                        | CONV. NOTE                            | CUSIP: 477143AP6<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |     74000 | PA      | $53951.70     | 0.03%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| RAPID7 INC                                                                  | CONV. NOTE                            | CUSIP: 753422AF1<br>LEI: 549300GNVG5D60KEYN14 | Long             | DBT              | CORP              | US        |     63000 | PA      | $49202.60     | 0.03%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| TYLER TECHNOLOGIES INC                                                      | CONV. NOTE                            | CUSIP: 902252AB1<br>LEI: 25490040SMU4Z8LBCW70 | Long             | DBT              | CORP              | US        |     43000 | PA      | $39947.00     | 0.02%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JOHN BEAN TECHNOLOGIES CORP                                                 | CONV. NOTE                            | CUSIP: 477839AB0<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |     83000 | PA      | $71255.50     | 0.04%             | 2026-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ETSY INC                                                                    | CONV. NOTE                            | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |    180000 | PA      | $153684.00    | 0.09%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SILICON LABORATORIES INC                                                    | CONV. NOTE                            | CUSIP: 826919AD4<br>LEI: 4PRDF8Q9TDHRVZKZSZ47 | Long             | DBT              | CORP              | US        |     59000 | PA      | $73714.60     | 0.04%             | 2025-06-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                                | CONV. NOTE                            | CUSIP: 723787AP2<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     27000 | PA      | $62964.00     | 0.04%             | 2025-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LYFT INC                                                                    | CONV. NOTE                            | CUSIP: 55087PAB0<br>LEI: 549300H7I5VN334XVZ52 | Long             | DBT              | CORP              | US        |     49000 | PA      | $43142.52     | 0.02%             | 2025-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SPLUNK INC                                                                  | CONV. NOTE                            | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |    147000 | PA      | $124038.60    | 0.07%             | 2027-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PALO ALTO NETWORKS INC                                                      | CONV. NOTE                            | CUSIP: 697435AF2<br>LEI: 549300QXR2YVZV231H43 | Long             | DBT              | CORP              | US        |     51000 | PA      | $75301.50     | 0.04%             | 2025-06-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| OKTA INC                                                                    | CONV. NOTE                            | CUSIP: 679295AF2<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |    119000 | PA      | $99960.00     | 0.06%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DATADOG INC                                                                 | CONV. NOTE                            | CUSIP: 23804LAB9<br>LEI: 549300F6JNO0KRPO1K63 | Long             | DBT              | CORP              | US        |     61000 | PA      | $66566.25     | 0.04%             | 2025-06-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ZSCALER INC                                                                 | CONV. NOTE                            | CUSIP: 98980GAB8<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | DBT              | CORP              | US        |     43000 | PA      | $45150.00     | 0.03%             | 2025-07-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES GROUP INC                                                 | CONV. NOTE                            | CUSIP: 02376RAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73000 | PA      | $76942.00     | 0.04%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                                                      | CONV. NOTE                            | CUSIP: 695127AF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $85559.38     | 0.05%             | 2025-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                | CONV. NOTE                            | CUSIP: 62886HAX9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | US        |     37000 | PA      | $37314.50     | 0.02%             | 2025-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                                                 | CONV. NOTE                            | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |     87000 | PA      | $56245.50     | 0.03%             | 2025-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MIDDLEBY CORP/THE                                                           | CONV. NOTE                            | CUSIP: 596278AB7<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | DBT              | CORP              | US        |     42000 | PA      | $49371.00     | 0.03%             | 2025-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONV. NOTE                            | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     97000 | PA      | $73113.75     | 0.04%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                                                       | CONV. NOTE                            | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |    138000 | PA      | $118335.00    | 0.07%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CONVERTIBLE BONDS                     | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     90000 | PA      | $88965.00     | 0.05%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                           | CONVERTIBLE BONDS                     | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    173000 | PA      | $108384.50    | 0.06%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLDINGS INC                                            | CONVERTIBLE BONDS                     | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |     95000 | PA      | $68115.00     | 0.04%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AK8<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |     79000 | PA      | $78783.24     | 0.04%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                                                          | CONVERTIBLE BONDS                     | CUSIP: 531229AJ1<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |    188000 | PA      | $171362.00    | 0.10%             | 2049-12-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77287.50     | 0.04%             | 2025-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CYBERARK SOFTWARE LTD                                                       | CONVERTIBLE ZERO                      | CUSIP: 23248VAB1<br>LEI: 529900YEXNDM894PWS93 | Long             | DBT              | CORP              | IL        |     53000 | PA      | $56083.11     | 0.03%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |     79000 | PA      | $54075.50     | 0.03%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 3D SYSTEMS CORP                                                             | CONVERTIBLE ZERO                      | CUSIP: 88554DAD8<br>LEI: 5493003HHDOCCW4OP744 | Long             | DBT              | CORP              | US        |     57000 | PA      | $38874.00     | 0.02%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS INC                                                   | CONVERTIBLE ZERO                      | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |     58000 | PA      | $43355.00     | 0.02%             | 2026-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITY SOFTWARE INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |     81000 | PA      | $60628.50     | 0.03%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     68000 | PA      | $54740.00     | 0.03%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     93000 | PA      | $78329.84     | 0.04%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VAIL RESORTS INC                                                            | CONVERTIBLE ZERO                      | CUSIP: 91879QAN9<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |    123000 | PA      | $114082.50    | 0.06%             | 2026-01-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY PARTNERS LP                                                  | CONVERTIBLE ZERO                      | CUSIP: 65341BAD8<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |    106000 | PA      | $105364.00    | 0.06%             | 2025-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BOX INC                                                                     | CONVERTIBLE ZERO                      | CUSIP: 10316TAB0<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |     63000 | PA      | $82624.50     | 0.05%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALARM.COM HOLDINGS INC                                                      | CONVERTIBLE ZERO                      | CUSIP: 011642AB1<br>LEI: 549300HIH92U1EKIHZ32 | Long             | DBT              | CORP              | US        |     63000 | PA      | $51149.70     | 0.03%             | 2026-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                           | CONVERTIBLE ZERO                      | CUSIP: 30212PBE4<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     98000 | PA      | $85351.00     | 0.05%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENPHASE ENERGY INC                                                          | CONVERTIBLE ZERO                      | CUSIP: 29355AAK3<br>LEI: 5493008U7KIGMI59Z314 | Long             | DBT              | CORP              | US        |     92000 | PA      | $107584.80    | 0.06%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHAKE SHACK INC                                                             | CONVERTIBLE ZERO                      | CUSIP: 819047AB7<br>LEI: 529900J74GJAHYP80N79 | Long             | DBT              | CORP              | US        |     73000 | PA      | $48043.13     | 0.03%             | 2028-03-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                                                  | CONVERTIBLE ZERO                      | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    142000 | PA      | $116866.00    | 0.07%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EVERBRIDGE INC                                                              | CONVERTIBLE ZERO                      | CUSIP: 29978AAE4<br>LEI: 549300WCY0UMR64ATW81 | Long             | DBT              | CORP              | US        |     69000 | PA      | $58567.20     | 0.03%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLACKLINE INC                                                               | CONVERTIBLE ZERO                      | CUSIP: 09239BAD1<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |     46000 | PA      | $39186.25     | 0.02%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS HOLDINGS INC                                                     | CONVERTIBLE ZERO                      | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |     82000 | PA      | $50717.00     | 0.03%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CONVERTIBLE ZERO                      | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    137000 | PA      | $129259.50    | 0.07%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                    | CONVERTIBLE ZERO                      | CUSIP: 83304AAF3<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     98000 | PA      | $68453.00     | 0.04%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                       | CONVERTIBLE ZERO                      | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     56000 | PA      | $74200.00     | 0.04%             | 2027-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEGG INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 163092AF6<br>LEI: 549300AKX7O8JG0O3G77 | Long             | DBT              | CORP              | US        |     78000 | PA      | $61183.20     | 0.03%             | 2026-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLAREDGE TECHNOLOGIES INC                                                  | CONVERTIBLE ZERO                      | CUSIP: 83417MAD6<br>LEI: 5493000K6Y58XXPDF853 | Long             | DBT              | CORP              | IL        |     53000 | PA      | $65799.50     | 0.04%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CONVERTIBLE ZERO                      | CUSIP: 852234AJ2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     43000 | PA      | $34808.50     | 0.02%             | 2026-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GUARDANT HEALTH INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 40131MAB5<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |     46000 | PA      | $28607.40     | 0.02%             | 2027-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                                                         | CONVERTIBLE ZERO                      | CUSIP: 82452JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $74296.88     | 0.04%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BILL.COM HOLDINGS INC                                                       | CONVERTIBLE ZERO                      | CUSIP: 090043AD2<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |     89000 | PA      | $70354.50     | 0.04%             | 2027-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    585000 | PA      | $530174.39    | 0.30%             | 2024-10-22      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                          | CORP CMO                              | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    150000 | PA      | $125889.45    | 0.07%             | 2034-01-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $170100.00    | 0.10%             | 2042-01-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    425000 | PA      | $385389.58    | 0.22%             | 2024-10-22      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    172048 | PA      | $177177.95    | 0.10%             | 2050-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL1                                              | CORP CMO                              | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133000 | PA      | $126350.00    | 0.07%             | 2026-02-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUST                                             | CORP CMO                              | CUSIP: 19688JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $885444.90    | 0.50%             | 2065-03-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    430000 | PA      | $465475.00    | 0.26%             | 2050-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    215995 | PA      | $213294.82    | 0.12%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA4                                     | CORP CMO                              | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    609000 | PA      | $661526.25    | 0.37%             | 2050-08-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA5                                     | CORP CMO                              | CUSIP: 35566ABE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176000 | PA      | $193600.00    | 0.11%             | 2050-10-25      | Floating      | 15.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                           | CORP CMO                              | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |    141000 | PA      | $152827.81    | 0.09%             | 2049-01-25      | Floating      | 15.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    118000 | PA      | $126403.09    | 0.07%             | 2049-03-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    174000 | PA      | $172487.77    | 0.10%             | 2048-09-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |    649000 | PA      | $701389.55    | 0.39%             | 2048-10-25      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     19823 | PA      | $19923.13     | 0.01%             | 2029-04-25      | Floating      | 13.64%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                           | CORP CMO                              | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |    106000 | PA      | $111529.48    | 0.06%             | 2049-04-25      | Floating      | 15.64%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                               | CORP CMO                              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    504000 | PA      | $497767.79    | 0.28%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                     | CORP CMO                              | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    152601 | PA      | $154160.27    | 0.09%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2018-1 LTD                                                        | CORP CMO                              | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-CBDO         | CORP              | BM        |    759497 | PA      | $757104.28    | 0.43%             | 2028-03-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-DNA2                                           | CORP CMO                              | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-CBDO         | CORP              | US        |    260000 | PA      | $260346.09    | 0.15%             | 2030-12-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-2                                       | CORP CMO                              | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    244204 | PA      | $82244.91     | 0.05%             | 2035-05-19      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6751 | PA      | $6734.45      | 0.00%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                       | CORP CMO                              | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206717 | PA      | $176256.24    | 0.10%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBD5<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    190000 | PA      | $193529.19    | 0.11%             | 2048-09-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R03                                | CORP CMO                              | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    556000 | PA      | $564733.81    | 0.32%             | 2031-09-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                           | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    307000 | PA      | $261860.75    | 0.15%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |    380000 | PA      | $388933.04    | 0.22%             | 2048-10-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     82000 | PA      | $84390.88     | 0.05%             | 2030-05-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    283000 | PA      | $293872.72    | 0.17%             | 2030-12-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    224352 | PA      | $183158.16    | 0.10%             | 2046-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    569651 | PA      | $584812.76    | 0.33%             | 2028-04-25      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    266288 | PA      | $276401.46    | 0.16%             | 2028-05-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    384861 | PA      | $385050.05    | 0.22%             | 2028-03-25      | Floating      | 13.19%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    886784 | PA      | $927409.01    | 0.52%             | 2028-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA7                                             | CORP CMO                              | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    245879 | PA      | $220479.76    | 0.12%             | 2046-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    366243 | PA      | $396151.10    | 0.22%             | 2028-08-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1109479 | PA      | $1224023.01   | 0.69%             | 2028-09-25      | Floating      | 16.64%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    565593 | PA      | $613131.03    | 0.35%             | 2028-10-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     89473 | PA      | $96985.99     | 0.05%             | 2028-10-25      | Floating      | 17.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    119531 | PA      | $124796.21    | 0.07%             | 2029-01-25      | Floating      | 15.14%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    146826 | PA      | $124684.05    | 0.07%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176498 | PA      | $142963.57    | 0.08%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    380457 | PA      | $207378.27    | 0.12%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    285000 | PA      | $309101.65    | 0.17%             | 2029-09-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1170000 | PA      | $1232630.92   | 0.69%             | 2029-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    182000 | PA      | $184116.26    | 0.10%             | 2030-01-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4          | CORP CMO                              | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-CBDO         | CORP              | US        |    187198 | PA      | $153072.62    | 0.09%             | 2047-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     60000 | PA      | $61537.56     | 0.03%             | 2030-02-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                            | CORP CMO                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201499 | PA      | $144622.47    | 0.08%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QO5 TRUST                                                  | CORP CMO                              | CUSIP: 75114HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    205649 | PA      | $175830.30    | 0.10%             | 2046-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2                                    | CORP CMO                              | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    424589 | PA      | $178095.61    | 0.10%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239693 | PA      | $201850.80    | 0.11%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                            | CORP CMO                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     53395 | PA      | $68274.79     | 0.04%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-38                                              | CORP CMO                              | CUSIP: 12667GZ30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    266823 | PA      | $226335.06    | 0.13%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-38                                              | CORP CMO                              | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216838 | PA      | $190140.17    | 0.11%             | 2035-09-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1595140 | PA      | $1259838.80   | 0.71%             | 2046-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82360 | PA      | $71515.44     | 0.04%             | 2046-08-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-59                                              | CORP CMO                              | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    279602 | PA      | $244259.80    | 0.14%             | 2035-11-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST              | CORP CMO                              | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98772 | PA      | $89711.37     | 0.05%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                     | CORP CMO                              | CUSIP: 61915RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     39200 | PA      | $36103.20     | 0.02%             | 2035-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0EZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    394996 | PA      | $409446.78    | 0.23%             | 2027-10-25      | Floating      | 13.59%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |      4650 | PA      | $4780.85      | 0.00%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2011-RR3 TRUST                                                     | CORP CMO                              | CUSIP: 05533WAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    538924 | PA      | $350300.50    | 0.20%             | 2036-11-27      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0FZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    647588 | PA      | $646739.09    | 0.36%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORP. NOTE                            | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    328000 | PA      | $323801.60    | 0.18%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41607.45     | 0.02%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCZ1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    127000 | PA      | $120096.63    | 0.07%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    135000 | PA      | $125582.39    | 0.07%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / NEW RED FINANCE INC                                        | CORP. NOTE                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    100000 | PA      | $89500.00     | 0.05%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71459.16     | 0.04%             | 2024-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING SUPPLY INC                                                   | CORP. NOTE                            | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35494.98     | 0.02%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                                   | CORP. NOTE                            | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    168000 | PA      | $136080.00    | 0.08%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                                    | CORP. NOTE                            | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33232.87     | 0.02%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                               | CORP. NOTE                            | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     56000 | PA      | $51324.04     | 0.03%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                             | CORP. NOTE                            | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121065.95    | 0.07%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BB2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     86000 | PA      | $83674.11     | 0.05%             | 2026-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORP. NOTE                            | CUSIP: 629377CC4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7932.40      | 0.00%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 12429TAD6<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17502.25     | 0.01%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LA FINANCIERE ATALIAN SASU                                                  | CORP. NOTE                            | CUSIP: F5474SAE8<br>LEI: 969500ICOLJMB33J0L87 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $90791.24     | 0.05%             | 2024-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     99000 | PA      | $96550.45     | 0.05%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC              | CORP. NOTE                            | CUSIP: 48250NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $105600.00    | 0.06%             | 2027-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $23488.52     | 0.01%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORP. NOTE                            | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    409000 | PA      | $406489.01    | 0.23%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                       | CORP. NOTE                            | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     53000 | PA      | $48760.00     | 0.03%             | 2024-11-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| PRECISION DRILLING CORP                                                     | CORP. NOTE                            | CUSIP: 740212AL9<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |    231000 | PA      | $223492.50    | 0.13%             | 2026-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                             | CORP. NOTE                            | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    240000 | PA      | $218468.33    | 0.12%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                    | CORP. NOTE                            | CUSIP: 588056AW1<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |    121000 | PA      | $114609.86    | 0.06%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                           | CORP. NOTE                            | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |    188000 | PA      | $166022.80    | 0.09%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | CORP. NOTE                            | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    125000 | PA      | $131538.25    | 0.07%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                  | CORP. NOTE                            | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    433000 | PA      | $439055.94    | 0.25%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $120800.41    | 0.07%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164168.00    | 0.09%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                            | CORP. NOTE                            | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    194000 | PA      | $151727.67    | 0.09%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                      | CORP. NOTE                            | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    250000 | PA      | $172552.98    | 0.10%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BL0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    403000 | PA      | $378437.15    | 0.21%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    141000 | PA      | $130970.67    | 0.07%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                  | CORP. NOTE                            | CUSIP: 380355AD9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $33575.50     | 0.02%             | 2024-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                    | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |    142000 | PA      | $127270.25    | 0.07%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BD3<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    170000 | PA      | $166753.00    | 0.09%             | 2027-12-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                            | CORP. NOTE                            | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51225.90     | 0.03%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    102000 | PA      | $94319.05     | 0.05%             | 2028-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    122000 | PA      | $119550.80    | 0.07%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                       | CORP. NOTE                            | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22890.00     | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                       | CORP. NOTE                            | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    115000 | PA      | $109975.37    | 0.06%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORP. NOTE                            | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    170000 | PA      | $151636.29    | 0.09%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    357000 | PA      | $347748.35    | 0.20%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $96603.36     | 0.05%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP                        | CORP. NOTE                            | CUSIP: 435765AH5<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | US        |    195000 | PA      | $177548.73    | 0.10%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                         | CORP. NOTE                            | CUSIP: T1188BJD9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    105000 | PA      | $101130.50    | 0.06%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                         | CORP. NOTE                            | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    115000 | PA      | $99978.90     | 0.06%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AG ISSUER LLC                                                               | CORP. NOTE                            | CUSIP: 00119LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $96490.32     | 0.05%             | 2028-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORP. NOTE                            | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36917.82     | 0.02%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                            | CORP. NOTE                            | CUSIP: 172441BC0<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25245.47     | 0.01%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                              | CORP. NOTE                            | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    202000 | PA      | $201217.65    | 0.11%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                | CORP. NOTE                            | CUSIP: 475795AE0<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     31000 | PA      | $28995.68     | 0.02%             | 2025-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                             | CORP. NOTE                            | CUSIP: 57763RAA5<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34298.53     | 0.02%             | 2024-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80537.50     | 0.05%             | 2028-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53487.60     | 0.03%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                           | CORP. NOTE                            | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |     72000 | PA      | $72166.42     | 0.04%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | CORP. NOTE                            | CUSIP: 651229BB1<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     66000 | PA      | $64185.00     | 0.04%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                       | CORP. NOTE                            | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    135000 | PA      | $121429.39    | 0.07%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                        | CORP. NOTE                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57052.80     | 0.03%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                              | CORP. NOTE                            | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $195000.00    | 0.11%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PONTUS LTD                                                       | CORP. NOTE                            | CUSIP: 89382PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     31920 | PA      | $31281.60     | 0.02%             | 2025-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORP. NOTE                            | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     51000 | PA      | $49124.22     | 0.03%             | 2027-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORP. NOTE                            | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    168000 | PA      | $161854.11    | 0.09%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | CORP. NOTE                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $242274.87    | 0.14%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                    | CORP. NOTE                            | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    265000 | PA      | $252150.15    | 0.14%             | 2028-08-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                                     | CORP. NOTE                            | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     77000 | PA      | $74930.24     | 0.04%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    180000 | PA      | $177514.20    | 0.10%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186000.00    | 0.10%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                             | CORP. NOTE                            | CUSIP: 15138AAC4<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    403000 | PA      | $379721.94    | 0.21%             | 2027-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                                 | CORP. NOTE                            | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    352000 | PA      | $302959.36    | 0.17%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORP. NOTE                            | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163733.11    | 0.09%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 032177AH0<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |    115000 | PA      | $109095.90    | 0.06%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                     | CORP. NOTE                            | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95270.44     | 0.05%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORP. NOTE                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69607.01     | 0.04%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LABORATOIRE EIMER SELAS                                                     | CORP. NOTE                            | CUSIP: F5540NAA7<br>LEI: 969500DCZL54LLTFEM37 | Long             | DBT              | CORP              | FR        |    110000 | PA      | $89666.20     | 0.05%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC/ZOOMINFO FINANCE CORP                             | CORP. NOTE                            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    216000 | PA      | $181522.60    | 0.10%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KLEOPATRA HOLDINGS 2 SCA                                                    | CORP. NOTE                            | CUSIP: L5841GAA1<br>LEI: 222100ALG258IKQWWE73 | Long             | DBT              | CORP              | LU        |    120000 | PA      | $70120.44     | 0.04%             | 2026-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                        | CORP. NOTE                            | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |    107000 | PA      | $91485.00     | 0.05%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76622.40     | 0.04%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA-PACIFIC CORP                                                      | CORP. NOTE                            | CUSIP: 546347AM7<br>LEI: 549300C7E2UAO5BVRR75 | Long             | DBT              | CORP              | US        |    160000 | PA      | $138215.42    | 0.08%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                                                  | CORP. NOTE                            | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |     85000 | PA      | $70656.25     | 0.04%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OWENS  AND  MINOR INC                                                       | CORP. NOTE                            | CUSIP: 690732AF9<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47838.00     | 0.03%             | 2029-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                  | CORP. NOTE                            | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |    320000 | PA      | $259968.00    | 0.15%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48400.00     | 0.03%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                | CORP. NOTE                            | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52050.00     | 0.03%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22985.12     | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                  | CORP. NOTE                            | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     90000 | PA      | $79049.25     | 0.04%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |    320000 | PA      | $276000.00    | 0.16%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                                           | CORP. NOTE                            | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    373000 | PA      | $323619.87    | 0.18%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES            | CORP. NOTE                            | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    200000 | PA      | $168231.60    | 0.09%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORP. NOTE                            | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78065.10     | 0.04%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BQ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    120000 | PA      | $104670.00    | 0.06%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | CORP. NOTE                            | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41711.67     | 0.02%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                         | CORP. NOTE                            | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39181.31     | 0.02%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                         | CORP. NOTE                            | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $178230.00    | 0.10%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                  | CORP. NOTE                            | CUSIP: 380355AF4<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $61950.00     | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENCINO ACQUISITION PARTNERS HOLDINGS LLC                                    | CORP. NOTE                            | CUSIP: 29254BAA5<br>LEI: 549300BUKUEKT2UE4T49 | Long             | DBT              | CORP              | US        |    283000 | PA      | $258659.17    | 0.15%             | 2028-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORP. NOTE                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33689.03     | 0.02%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE  AND  DOCK CORP                                          | CORP. NOTE                            | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |    230000 | PA      | $178802.00    | 0.10%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDM9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     55000 | PA      | $47646.50     | 0.03%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORP. NOTE                            | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    125000 | PA      | $108787.50    | 0.06%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAN4<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    136000 | PA      | $137701.65    | 0.08%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                      | CORP. NOTE                            | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116492.01    | 0.07%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                    | CORP. NOTE                            | CUSIP: 81761LAA0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     41000 | PA      | $39069.95     | 0.02%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORP. NOTE                            | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15977.78     | 0.01%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                    | CORP. NOTE                            | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192268.32    | 0.11%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                  | CORP. NOTE                            | CUSIP: 23311VAJ6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     56000 | PA      | $55549.85     | 0.03%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC / CRC FINCO INC                               | CORP. NOTE                            | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $278988.23    | 0.16%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORP. NOTE                            | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    570000 | PA      | $512556.22    | 0.29%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORP. NOTE                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56002.20     | 0.03%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE CO                                                            | CORP. NOTE                            | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    305000 | PA      | $265465.22    | 0.15%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                               | CORP. NOTE                            | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | US        |     43000 | PA      | $43204.68     | 0.02%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORP. NOTE                            | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $75833.25     | 0.04%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC                    | CORP. NOTE                            | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $47475.15     | 0.03%             | 2027-08-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                  | CORP. NOTE                            | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18000 | PA      | $15330.42     | 0.01%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORP. NOTE                            | CUSIP: 674599EB7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22916.71     | 0.01%             | 2025-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORP. NOTE                            | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    266000 | PA      | $223171.34    | 0.13%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                   | CORP. NOTE                            | CUSIP: 45031UCJ8<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189511.70    | 0.11%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BIG RIVER STEEL LLC / BRS FINANCE CORP                                      | CORP. NOTE                            | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     92000 | PA      | $87650.77     | 0.05%             | 2029-01-31      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                       | CORP. NOTE                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $159795.44    | 0.09%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                             | CORP. NOTE                            | CUSIP: 70932MAA5<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99134.68     | 0.06%             | 2025-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                        | CORP. NOTE                            | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $547856.30    | 0.31%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER              | CORP. NOTE                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $26868.83     | 0.02%             | 2027-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                       | CORP. NOTE                            | CUSIP: 82453AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $94479.00     | 0.05%             | 2026-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                    | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9387.58      | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                | CORP. NOTE                            | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $65797.30     | 0.04%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                                        | CORP. NOTE                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100529.00    | 0.06%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39453.05     | 0.02%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                                 | CORP. NOTE                            | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19550.64     | 0.01%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                     | CORP. NOTE                            | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23693.13     | 0.01%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP HOLDINGS INC                                           | CORP. NOTE                            | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    202000 | PA      | $170140.81    | 0.10%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                 | CORP. NOTE                            | CUSIP: 780153BR2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20552.00     | 0.01%             | 2029-01-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | CORP. NOTE                            | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16376.74     | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                       | CORP. NOTE                            | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | US        |      4000 | PA      | $2374.59      | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                        | CORP. NOTE                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    688000 | PA      | $648440.00    | 0.37%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP          | CORP. NOTE                            | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    172000 | PA      | $138865.92    | 0.08%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORP. NOTE                            | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16299.09     | 0.01%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                      | CORP. NOTE                            | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68776.00     | 0.04%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORP. NOTE                            | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17574.40     | 0.01%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET  AND  CO                                                  | CORP. NOTE                            | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39250.00     | 0.02%             | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL CORP                                                 | CORP. NOTE                            | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48535.57     | 0.03%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADT SECURITY CORP/THE                                                       | CORP. NOTE                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59531.93     | 0.03%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION INC                                                   | CORP. NOTE                            | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     95000 | PA      | $79835.15     | 0.04%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                    | CORP. NOTE                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     89000 | PA      | $79624.74     | 0.04%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORP. NOTE                            | CUSIP: 670001AG1<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    311000 | PA      | $278814.61    | 0.16%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATIONS LP                                                | CORP. NOTE                            | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $25647.63     | 0.01%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    337000 | PA      | $307350.40    | 0.17%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                        | CORP. NOTE                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    273000 | PA      | $232050.00    | 0.13%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                                                                | CORP. NOTE                            | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |    205000 | PA      | $194750.00    | 0.11%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORP. NOTE                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    230000 | PA      | $213223.80    | 0.12%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORP. NOTE                            | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     35000 | PA      | $26840.24     | 0.02%             | 2031-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROLLER BEARING CO OF AMERICA INC                                            | CORP. NOTE                            | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |    125000 | PA      | $108087.50    | 0.06%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAC5<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    129000 | PA      | $127065.00    | 0.07%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDINGS LLC                                                       | CORP. NOTE                            | CUSIP: 92943GAD3<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |     65000 | PA      | $57598.45     | 0.03%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROCKCLIFF ENERGY II LLC                                                     | CORP. NOTE                            | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |    183000 | PA      | $167435.85    | 0.09%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                                                         | CORP. NOTE                            | CUSIP: 50221DAA7<br>LEI: 254900FPK7P5WNA66Y10 | Long             | DBT              | CORP              | US        |    115000 | PA      | $95002.79     | 0.05%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                           | CORP. NOTE                            | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    344000 | PA      | $292400.00    | 0.16%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     85000 | PA      | $75072.00     | 0.04%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                              | CORP. NOTE                            | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $178109.43    | 0.10%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $29481.73     | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                               | CORP. NOTE                            | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $22347.50     | 0.01%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |    485000 | PA      | $469816.94    | 0.26%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                                             | CORP. NOTE                            | CUSIP: G4701HAA7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | NG        |    740000 | PA      | $597550.00    | 0.34%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO                        | CORP. NOTE                            | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    144000 | PA      | $16920.00     | 0.01%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                         | CORP. NOTE                            | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    195000 | PA      | $182867.69    | 0.10%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORP. NOTE                            | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28177.39     | 0.02%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                       | CORP. NOTE                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     85000 | PA      | $80988.00     | 0.05%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CALLON PETROLEUM CO                                                         | CORP. NOTE                            | CUSIP: 13123XBF8<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    244000 | PA      | $223260.00    | 0.13%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                | CORP. NOTE                            | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18158.30     | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                    | CORP. NOTE                            | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87447.73     | 0.05%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                       | CORP. NOTE                            | CUSIP: 62957HAH8<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     70097 | PA      | $70972.41     | 0.04%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                                                        | CORP. NOTE                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |     51000 | PA      | $48577.41     | 0.03%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                       | CORP. NOTE                            | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $54121.60     | 0.03%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                    | CORP. NOTE                            | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |    245000 | PA      | $206722.40    | 0.12%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                                    | CORP. NOTE                            | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $75240.90     | 0.04%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                               | CORP. NOTE                            | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70341.60     | 0.04%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                            | CORPORATE BONDS                       | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    191000 | PA      | $173086.11    | 0.10%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66106.26     | 0.04%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                         | CORPORATE BONDS                       | CUSIP: 84762LAV7<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     55000 | PA      | $47598.44     | 0.03%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                        | CORPORATE BONDS                       | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    122000 | PA      | $104569.86    | 0.06%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                           | CORPORATE BONDS                       | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    105000 | PA      | $98783.50     | 0.06%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                                | CORPORATE BONDS                       | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     29000 | PA      | $27623.30     | 0.02%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    134000 | PA      | $130093.90    | 0.07%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                                         | CORPORATE BONDS                       | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     29000 | PA      | $25946.30     | 0.01%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                            | CORPORATE BONDS                       | CUSIP: G9372GAT5<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    115000 | PA      | $123588.67    | 0.07%             | 2027-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    460000 | PA      | $424457.21    | 0.24%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                            | CORPORATE BONDS                       | CUSIP: 87264AAT2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     19000 | PA      | $19181.62     | 0.01%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                            | CORPORATE BONDS                       | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $63172.96     | 0.04%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                        | CORPORATE BONDS                       | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    234000 | PA      | $216997.32    | 0.12%             | 2027-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115870.36    | 0.07%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     33000 | PA      | $30360.00     | 0.02%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC                              | CORPORATE BONDS                       | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    511000 | PA      | $489292.72    | 0.28%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                | CORPORATE BONDS                       | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |     65000 | PA      | $48923.55     | 0.03%             | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8998.90      | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                | CORPORATE BONDS                       | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    155000 | PA      | $148798.54    | 0.08%             | 2025-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION                                                        | CORPORATE BONDS                       | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131600.00    | 0.07%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    102000 | PA      | $94947.75     | 0.05%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                        | CORPORATE BONDS                       | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    161000 | PA      | $131681.99    | 0.07%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | CORPORATE BONDS                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    157000 | PA      | $143472.22    | 0.08%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMSTED INDUSTRIES INC                                                       | CORPORATE BONDS                       | CUSIP: 032177AJ6<br>LEI: N2VLGYMEEBIU3PFSUY86 | Long             | DBT              | CORP              | US        |     35000 | PA      | $29837.50     | 0.02%             | 2030-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70925.20     | 0.04%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC       | CORPORATE BONDS                       | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $31236.10     | 0.02%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    816000 | PA      | $617587.97    | 0.35%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                 | CORPORATE BONDS                       | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20409.19     | 0.01%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                     | CORPORATE BONDS                       | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $47436.19     | 0.03%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    246000 | PA      | $249328.38    | 0.14%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    117000 | PA      | $107202.42    | 0.06%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                                 | CORPORATE BONDS                       | CUSIP: 037411BE4<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |    306000 | PA      | $275418.63    | 0.16%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                 | CORPORATE BONDS                       | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58200.00     | 0.03%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    142000 | PA      | $125349.08    | 0.07%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    155000 | PA      | $145316.34    | 0.08%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                | CORPORATE BONDS                       | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    820000 | PA      | $741501.40    | 0.42%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                    | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45042.24     | 0.03%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS  AND  CO                                                       | CORPORATE BONDS                       | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |     57000 | PA      | $45240.33     | 0.03%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                                  | CORPORATE BONDS                       | CUSIP: 90138FAD4<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     65000 | PA      | $51568.08     | 0.03%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                   | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     75000 | PA      | $59844.38     | 0.03%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                                 | CORPORATE BONDS                       | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    293000 | PA      | $278555.10    | 0.16%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                                        | CORPORATE BONDS                       | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55883.67     | 0.03%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                               | CORPORATE BONDS                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32516.28     | 0.02%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                  | CORPORATE BONDS                       | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     45000 | PA      | $33862.65     | 0.02%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    380000 | PA      | $392684.40    | 0.22%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     55000 | PA      | $46117.50     | 0.03%             | 2031-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                 | CORPORATE BONDS                       | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    135000 | PA      | $116365.59    | 0.07%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BATH  AND  BODY WORKS INC                                                   | CORPORATE BONDS                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51612.17     | 0.03%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                | CORPORATE BONDS                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     55000 | PA      | $45086.21     | 0.03%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                               | CORPORATE BONDS                       | CUSIP: 345370CA6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102211.20    | 0.06%             | 2031-07-16      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| CROWN CORK  AND  SEAL CO INC                                                | CORPORATE BONDS                       | CUSIP: 228255AH8<br>LEI: 7HLDMDH0ZXNUH6PT7Z42 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154426.50    | 0.09%             | 2026-12-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                 | CORPORATE BONDS                       | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $207555.38    | 0.12%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                    | CORPORATE BONDS                       | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60804.59     | 0.03%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                | CORPORATE BONDS                       | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |    115000 | PA      | $93885.13     | 0.05%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                         | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    241000 | PA      | $188020.78    | 0.11%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                              | CORPORATE BONDS                       | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    215000 | PA      | $161475.75    | 0.09%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                 | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7947.07      | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MORTGAGE HOLDINGS INC                                            | CORPORATE BONDS                       | CUSIP: 63861CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $101075.00    | 0.06%             | 2031-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                                      | CORPORATE BONDS                       | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    179000 | PA      | $152971.61    | 0.09%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                         | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1034000 | PA      | $811945.40    | 0.46%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| NEWS CORP                                                                   | CORPORATE BONDS                       | CUSIP: 65249BAB5<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8190.00      | 0.00%             | 2032-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                   | CORPORATE BONDS                       | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    550000 | PA      | $555054.30    | 0.31%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                                                             | CORPORATE BONDS                       | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     55000 | PA      | $50462.50     | 0.03%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $537.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $375184.18    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $10002.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $1198683.81   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $134271.47    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6795.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $28194.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $64263.56     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11049.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $46038.62     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1294859.99   | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5334.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $32424.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $97865.29     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1344263.06   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $144619.07    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $26663.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $61082.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $72074.69     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $161452.76    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1231128.37   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7902.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9537.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $4689.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $690296.50    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $892639.90    | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $26665.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DFE              | CORP              | US        |         1 | NC      | $831103.53    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6883.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1080817.27   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $30404.11     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC WHOLESALE, LONDON                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |         1 | NC      | $87398.21     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $10352.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $89686.69     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                 | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: EN5TNI6CI43VEPAMHL14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $4903.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11691.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $419129.92    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $23701.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6552.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $221809.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $205031.25    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1135.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3867.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTL FX                                                       | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DFE              | CORP              | US        |         1 | NC      | $196337.03    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5734.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $676220.67    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA                                                               | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $92915.15     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | US        |         1 | NC      | $484.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $32214.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $123769.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET B AND T CO                                                     | CURRENCY FORWARDS                     | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3271172.74   | 1.84%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                               | Credit Default Swap Basket Index      | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCR              | CORP              | US        |   5599440 | NC      | $117644.23    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ TRUST  AND  BANKING CORP/NY                                  | DISC. CP                              | CUSIP: N/A<br>LEI: JBONEPAGQXF4QP29B387       | Long             | STIV             | CORP              | US        |    750000 | PA      | $746568.92    | 0.42%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD/SINGAPORE                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 5493006GGLR4BTEL8O61       | Long             | STIV             | CORP              | SG        |   1000000 | PA      | $995918.11    | 0.56%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | DISC. CP                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | STIV             | CORP              | CA        |   1000000 | PA      | $996651.67    | 0.56%             | 2023-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                         | DISC. CP                              | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | STIV             | CORP              | FR        |   1000000 | PA      | $996170.67    | 0.56%             | 2023-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NRW BANK                                                                    | DISC. CP                              | CUSIP: N/A<br>LEI: 52990002O5KK6XOGJ020       | Long             | STIV             | CORP              | DE        |   1000000 | PA      | $993535.47    | 0.56%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NEW YORK NY                                                 | DISC. CP                              | CUSIP: N/A<br>LEI: RB0PEZSDGCO3JS6CEU02       | Long             | STIV             | CORP              | US        |   1000000 | PA      | $995434.72    | 0.56%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD                               | DISC. CP                              | CUSIP: N/A<br>LEI: JHE42UYNWWTJB8YTTU19       | Long             | STIV             | CORP              | AU        |   1000000 | PA      | $993564.92    | 0.56%             | 2023-02-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394JDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798868 | PA      | $7988.68      | 0.00%             | 2043-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BXH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473764 | PA      | $55601.90     | 0.03%             | 2047-04-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FUAM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3727486 | PA      | $418702.51    | 0.24%             | 2050-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H1X68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3931008 | PA      | $727606.06    | 0.41%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FWKE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3607808 | PA      | $765655.51    | 0.43%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYMM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2707767 | PA      | $478585.61    | 0.27%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FYLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2015419 | PA      | $431616.88    | 0.24%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2628435 | PA      | $243547.93    | 0.14%             | 2050-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTQF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2656088 | PA      | $563279.55    | 0.32%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FVT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4094963 | PA      | $453476.23    | 0.26%             | 2050-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2379424 | PA      | $273443.42    | 0.15%             | 2056-08-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FCB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688654 | PA      | $71970.09     | 0.04%             | 2047-12-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FGSQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116907 | PA      | $223304.87    | 0.13%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ABAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381713 | PA      | $9096.22      | 0.01%             | 2040-04-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ASB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466416 | PA      | $91324.04     | 0.05%             | 2042-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BPMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472075 | PA      | $61389.08     | 0.03%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BRPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820977 | PA      | $107531.59    | 0.06%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BMNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    618099 | PA      | $112683.62    | 0.06%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715337 | PA      | $112300.82    | 0.06%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BH6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777223 | PA      | $161738.60    | 0.09%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B1HN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492937 | PA      | $73297.32     | 0.04%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B0DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476836 | PA      | $32949.38     | 0.02%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FHLMC CMO IO                          | CUSIP: 3137B1VT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71422 | PA      | $709.22       | 0.00%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1199994 | PA      | $95262.72     | 0.05%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS                                                          | FHLMC CMO IO                          | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180134 | PA      | $7033.30      | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AV3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326275 | PA      | $64447.13     | 0.04%             | 2042-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AUD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266039 | PA      | $20878.00     | 0.01%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ALYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177722 | PA      | $26893.09     | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19734 | PA      | $19463.98     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8416 | PA      | $8233.42      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $4816.71      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14688 | PA      | $14674.59     | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FN30                                  | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21101 | PA      | $20812.11     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BCLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3973986 | PA      | $731799.51    | 0.41%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B1S47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2721399 | PA      | $293018.43    | 0.16%             | 2048-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070577 | PA      | $189281.50    | 0.11%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B5A54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1487281 | PA      | $114639.84    | 0.06%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225969 | PA      | $15194.92     | 0.01%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AWLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3380052 | PA      | $304745.46    | 0.17%             | 2047-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A9C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141897 | PA      | $27689.57     | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398601 | PA      | $53420.54     | 0.03%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1615023 | PA      | $149874.18    | 0.08%             | 2048-03-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AAY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196214 | PA      | $7249.52      | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221828 | PA      | $26221.25     | 0.01%             | 2042-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300108 | PA      | $38290.79     | 0.02%             | 2043-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1304588 | PA      | $230873.51    | 0.13%             | 2043-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27447 | PA      | $58.83        | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ACWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53713 | PA      | $382.11       | 0.00%             | 2041-10-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4292556 | PA      | $341365.51    | 0.19%             | 2039-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314992 | PA      | $213633.68    | 0.12%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B66Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2981051 | PA      | $314884.80    | 0.18%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A1D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688953 | PA      | $58858.15     | 0.03%             | 2041-10-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FCZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37874 | PA      | $6305.18      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307565 | PA      | $32818.51     | 0.02%             | 2040-04-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AT6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397033 | PA      | $104803.46    | 0.06%             | 2046-12-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AGXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963418 | PA      | $101526.66    | 0.06%             | 2043-02-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398T4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841112 | PA      | $158247.64    | 0.09%             | 2040-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FEMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112161 | PA      | $17371.53     | 0.01%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B8H51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2316859 | PA      | $237478.05    | 0.13%             | 2050-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BGL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7110924 | PA      | $922705.08    | 0.52%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3637810.40   | 2.05%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5271093.60   | 2.97%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $4897312.80   | 2.76%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20242030.20  | 11.40%            | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5783437.20   | 3.26%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1877499.00   | 1.06%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $29582826.00  | 16.66%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6902659.40   | 3.89%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $9139222.80   | 5.15%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $5934687.50   | 3.34%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32000000 | PA      | $32095014.40  | 18.07%            | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19546 | PA      | $19887.06     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71451 | PA      | $65954.13     | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31177 | PA      | $31185.81     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28466 | PA      | $28402.65     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40521 | PA      | $40405.53     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63917 | PA      | $58999.51     | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9934 | PA      | $9170.01      | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53153 | PA      | $49063.59     | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23545 | PA      | $21733.28     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14157 | PA      | $13067.46     | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29916 | PA      | $29774.41     | 0.02%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LNR89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198685 | PA      | $183399.79    | 0.10%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LNR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202958 | PA      | $187344.47    | 0.11%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51450 | PA      | $47524.46     | 0.03%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617LE6Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65636 | PA      | $60586.39     | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617K4VC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14277 | PA      | $14525.93     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420983 | PA      | $79943.71     | 0.05%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246829 | PA      | $48719.15     | 0.03%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360694 | PA      | $74824.46     | 0.04%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276211 | PA      | $58785.01     | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375CMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204200 | PA      | $35007.45     | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147305 | PA      | $18003.67     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364376 | PA      | $41874.12     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FVC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908740 | PA      | $96271.88     | 0.05%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499512 | PA      | $92227.95     | 0.05%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1156001 | PA      | $242043.51    | 0.14%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MRH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231066 | PA      | $25687.62     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378WY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192691 | PA      | $17681.33     | 0.01%             | 2043-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376VHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261862 | PA      | $53305.45     | 0.03%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595024 | PA      | $123818.61    | 0.07%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YRM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218351 | PA      | $34151.93     | 0.02%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WK46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    462034 | PA      | $80266.32     | 0.05%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    955839 | PA      | $157259.44    | 0.09%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378UUA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488026 | PA      | $86951.67     | 0.05%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378P3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249932 | PA      | $41837.37     | 0.02%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375ARB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311015 | PA      | $55376.16     | 0.03%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378HK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940740 | PA      | $148772.98    | 0.08%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379DHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64570 | PA      | $3571.39      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378HVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457591 | PA      | $74851.45     | 0.04%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379GSU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1901783 | PA      | $286637.25    | 0.16%             | 2044-07-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884407 | PA      | $160151.76    | 0.09%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203396 | PA      | $40155.00     | 0.02%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1525641 | PA      | $47599.99     | 0.03%             | 2063-02-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1775252 | PA      | $68524.72     | 0.04%             | 2065-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UVA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1425660 | PA      | $59022.31     | 0.03%             | 2065-03-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583314 | PA      | $42692.69     | 0.02%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1638839 | PA      | $60964.80     | 0.03%             | 2065-06-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2888370 | PA      | $152217.10    | 0.09%             | 2065-08-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2540792 | PA      | $108491.81    | 0.06%             | 2065-08-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2517668 | PA      | $97433.74     | 0.05%             | 2065-09-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1895150 | PA      | $86229.31     | 0.05%             | 2065-10-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2225162 | PA      | $63519.47     | 0.04%             | 2065-09-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TKW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1152045 | PA      | $189188.81    | 0.11%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3046599 | PA      | $75555.66     | 0.04%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378680 | PA      | $75903.17     | 0.04%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2692600 | PA      | $123041.72    | 0.07%             | 2065-12-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2119435 | PA      | $69235.30     | 0.04%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3496569 | PA      | $72235.62     | 0.04%             | 2065-07-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379DLW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566574 | PA      | $37786.26     | 0.02%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3194087 | PA      | $151399.74    | 0.09%             | 2066-04-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3219039 | PA      | $56619.68     | 0.03%             | 2066-02-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5965514 | PA      | $114227.66    | 0.06%             | 2066-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379PE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    678857 | PA      | $82392.89     | 0.05%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2669800 | PA      | $113466.51    | 0.06%             | 2066-06-20      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1562840 | PA      | $63080.61     | 0.04%             | 2066-07-20      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3486207 | PA      | $119576.89    | 0.07%             | 2064-10-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2290871 | PA      | $81241.17     | 0.05%             | 2066-06-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744049 | PA      | $123858.79    | 0.07%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833142 | PA      | $65683.31     | 0.04%             | 2044-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WR56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    815440 | PA      | $147415.32    | 0.08%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6607521 | PA      | $218048.21    | 0.12%             | 2066-10-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1761847 | PA      | $75583.24     | 0.04%             | 2066-10-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1804876 | PA      | $84045.88     | 0.05%             | 2066-06-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379T3W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    423644 | PA      | $72045.05     | 0.04%             | 2046-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444644 | PA      | $87669.12     | 0.05%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379FFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403227 | PA      | $76596.98     | 0.04%             | 2045-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375224 | PA      | $72947.34     | 0.04%             | 2047-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3384608 | PA      | $139871.61    | 0.08%             | 2067-03-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2592874 | PA      | $91861.88     | 0.05%             | 2067-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3337487 | PA      | $99377.00     | 0.06%             | 2067-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2255370 | PA      | $115221.92    | 0.06%             | 2067-05-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1760480 | PA      | $54053.79     | 0.03%             | 2067-01-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380FAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509233 | PA      | $22027.91     | 0.01%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    928002 | PA      | $176431.23    | 0.10%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5253755 | PA      | $150812.28    | 0.08%             | 2067-07-20      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5696159 | PA      | $306891.24    | 0.17%             | 2067-08-20      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2127043 | PA      | $79613.10     | 0.04%             | 2067-05-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1927054 | PA      | $74226.51     | 0.04%             | 2067-08-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180860 | PA      | $67663.26     | 0.04%             | 2067-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380CH71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1194598 | PA      | $237820.72    | 0.13%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380GPZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32931 | PA      | $1098.59      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2421021 | PA      | $84345.94     | 0.05%             | 2066-10-20      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2833747 | PA      | $140445.62    | 0.08%             | 2068-02-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2637839 | PA      | $139124.33    | 0.08%             | 2068-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422917 | PA      | $50685.75     | 0.03%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1631888 | PA      | $332644.10    | 0.19%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1407366 | PA      | $214890.69    | 0.12%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2251656 | PA      | $102755.04    | 0.06%             | 2068-08-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3673989 | PA      | $186788.11    | 0.11%             | 2068-01-20      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364193 | PA      | $75115.02     | 0.04%             | 2068-02-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1066173 | PA      | $203050.21    | 0.11%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381WUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102756 | PA      | $7496.92      | 0.00%             | 2049-06-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2039867 | PA      | $186933.41    | 0.11%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XTX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96485 | PA      | $8331.65      | 0.00%             | 2049-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2250610 | PA      | $218826.77    | 0.12%             | 2049-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1804824 | PA      | $182528.78    | 0.10%             | 2044-04-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2216440 | PA      | $222908.08    | 0.13%             | 2049-09-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381BE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731882 | PA      | $158390.22    | 0.09%             | 2049-01-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193802 | PA      | $13533.93     | 0.01%             | 2050-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382DGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1686436 | PA      | $162466.22    | 0.09%             | 2050-01-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BH89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1438735 | PA      | $130457.74    | 0.07%             | 2049-12-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382GXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2094813 | PA      | $272145.54    | 0.15%             | 2050-07-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382JB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3187917 | PA      | $407109.70    | 0.23%             | 2050-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2258112 | PA      | $230932.39    | 0.13%             | 2050-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2923530 | PA      | $332745.35    | 0.19%             | 2050-04-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2643486 | PA      | $480940.78    | 0.27%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FGR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2424308 | PA      | $220345.31    | 0.12%             | 2043-08-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3758293 | PA      | $547282.66    | 0.31%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2341928 | PA      | $241457.69    | 0.14%             | 2051-04-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3377040 | PA      | $403134.53    | 0.23%             | 2051-05-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381W6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2767359 | PA      | $238876.94    | 0.13%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3625412 | PA      | $422578.07    | 0.24%             | 2051-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LMH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2989503 | PA      | $466169.69    | 0.26%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382WSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3334273 | PA      | $457383.38    | 0.26%             | 2047-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AQC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4434179 | PA      | $759220.95    | 0.43%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3786687.60   | 2.13%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   1000000 | PA      | $918780.00    | 0.52%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3562706.00   | 2.01%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4851607.00   | 2.73%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBD8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    380000 | PA      | $376645.17    | 0.21%             | 2025-01-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                                                           | GOVERNMENT BOND                       | CUSIP: V06423AM5<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |   1670000 | PA      | $1146844.61   | 0.65%             | 2025-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PCV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    725000 | PA      | $718599.33    | 0.40%             | 2025-01-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBK2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    336000 | PA      | $339051.10    | 0.19%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579EBV8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    284000 | PA      | $277826.03    | 0.16%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BX3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    650000 | PA      | $637814.45    | 0.36%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SENEGAL                                                         | GOVERNMENT BOND                       | CUSIP: V7691DAX4<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    530000 | PA      | $437250.00    | 0.25%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789BE4<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1345000 | PA      | $1208400.41   | 0.68%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECB1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    180000 | PA      | $173235.32    | 0.10%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF MONGOLIA LLC                                            | GOVERNMENT BOND                       | CUSIP: N/A<br>LEI: 254900HRWK3OKXS9UW60       | Long             | DBT              | NUSS              | MN        |    340000 | PA      | $302707.10    | 0.17%             | 2023-10-23      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WCY9<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   1130000 | PA      | $918105.79    | 0.52%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    379000 | PA      | $339212.20    | 0.19%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: 25714PED6<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    260000 | PA      | $221342.97    | 0.12%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V71795AU8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1000000 | PA      | $375000.00    | 0.21%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                          | GOVERNMENT BOND                       | CUSIP: P3579ECH8<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    325000 | PA      | $269774.38    | 0.15%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT OF MONGOLIA                                                      | GOVERNMENT BOND                       | CUSIP: Y6142NAC2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MN        |    270000 | PA      | $232202.43    | 0.13%             | 2026-04-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                                      | GOVERNMENT BOND                       | CUSIP: M1487WDP7<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    360000 | PA      | $255142.80    | 0.14%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                       | GOVERNMENT BOND                       | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1250000 | PA      | $1000335.81   | 0.56%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   1220000 | PA      | $1195554.86   | 0.67%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: Y20721BG3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    360000 | PA      | $354602.88    | 0.20%             | 2025-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOCIALIST REPUBLIC OF VIETNAM                                               | GOVERNMENT BOND                       | CUSIP: Y9384RAA8<br>LEI: 5493008AE7RS4XK4BZ08 | Long             | DBT              | NUSS              | VN        |    910000 | PA      | $895440.00    | 0.50%             | 2024-11-19      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                           | GOVERNMENT BOND                       | CUSIP: V3R60FAZ7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1510000 | PA      | $605887.50    | 0.34%             | 2026-01-18      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                       | GOVERNMENT BOND                       | CUSIP: 455780BL9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    560000 | PA      | $556692.08    | 0.31%             | 2023-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COTE D'IVOIRE                                                   | GOVERNMENT BOND                       | CUSIP: V73789AC9<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1300000 | PA      | $1254500.00   | 0.71%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        35 | NC      | $7177734.41   | 4.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        72 | NC      | $8516250.00   | 4.79%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       123 | NC      | $13275351.62  | 7.47%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6421000 | NC      | $31345.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  73790000 | NC      | $380018.50    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 178571000 | NC      | $807140.92    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30857000 | NC      | $13268.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  85969000 | NC      | $1638569.14   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12097000 | NC      | $660254.26    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2012000 | NC      | $15049.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1658000 | NC      | $6333.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1376000 | NC      | $13760.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18272000 | NC      | $13886.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25828000 | NC      | $24536.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1658000 | NC      | $4294.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    681000 | NC      | $35275.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1807000 | NC      | $35995.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  39127000 | NC      | $271150.11    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7956000 | NC      | $39780.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  78254000 | NC      | $535257.36    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  37412000 | NC      | $71831.04     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  65239000 | NC      | $328804.56    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  15912000 | NC      | $67307.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18659000 | NC      | $588131.68    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24583000 | NC      | $523362.47    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6207000 | NC      | $10489.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16875000 | NC      | $21093.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2285900 | NC      | $19978.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    685000 | NC      | $6993.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9834000 | NC      | $570544.20    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12730000 | NC      | $41245.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1473400 | NC      | $275288.37    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2662000 | NC      | $19459.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    552800 | NC      | $17389.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1842600 | NC      | $24655.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    471400 | NC      | $6131.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6427800 | NC      | $85489.74     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26139900 | NC      | $357855.23    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    199000 | NC      | $4443.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10780600 | NC      | $27580.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    784600 | NC      | $14891.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2425600 | NC      | $32697.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    802200 | NC      | $14463.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    865300 | NC      | $11263.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1604300 | NC      | $18417.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2196500 | NC      | $5381.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13161200 | NC      | $322975.85    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4928000 | NC      | $119701.12    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    376100 | NC      | $7480.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    278800 | NC      | $5503.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3276000 | NC      | $148566.60    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9691400 | NC      | $38474.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1928000 | NC      | $108122.24    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4390900 | NC      | $131244.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1468300 | NC      | $19557.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3580900 | NC      | $80283.78     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    813900 | NC      | $18117.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9533000 | NC      | $63680.44     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17241000 | NC      | $68619.18     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12462000 | NC      | $328498.32    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6000000 | NC      | $53640.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    749200 | NC      | $5117.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24017000 | NC      | $67247.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $69440.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1398800 | NC      | $102923.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1606700 | NC      | $95229.11     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1508000 | NC      | $83354.65     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2250000 | NC      | $11370.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    595000 | NC      | $17062.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8900000 | NC      | $24755.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1397000 | NC      | $31593.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25823000 | NC      | $130020.12    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    704000 | NC      | $37853.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8416000 | NC      | $102701.54    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6578000 | NC      | $23610.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5841000 | NC      | $149996.88    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7247000 | NC      | $20436.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    383000 | NC      | $11323.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2539000 | NC      | $73866.42     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    296000 | NC      | $28566.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    118000 | NC      | $24617.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1765000 | NC      | $53144.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5761000 | NC      | $481677.21    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4987000 | NC      | $820311.63    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1381000 | NC      | $72709.65     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14654000 | NC      | $659576.54    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25078600 | NC      | $740320.27    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1040000 | NC      | $139900.80    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    801300 | NC      | $72012.83     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2133000 | NC      | $136746.63    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1727000 | NC      | $193544.89    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32149300 | NC      | $1887163.91   | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1596200 | NC      | $353765.81    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26508000 | NC      | $527774.28    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17825000 | NC      | $451685.50    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1979000 | NC      | $41393.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3328000 | NC      | $165404.91    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2377100 | NC      | $94965.14     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3722900 | NC      | $214439.04    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12135300 | NC      | $434653.16    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1086000 | NC      | $206949.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8267900 | NC      | $688716.07    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8267900 | NC      | $685326.23    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4028500 | NC      | $262878.29    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7787200 | NC      | $680757.02    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7842000 | NC      | $715974.60    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13022000 | NC      | $1093545.92   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7614200 | NC      | $720988.60    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    754900 | NC      | $33978.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1043000 | NC      | $75294.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2268200 | NC      | $264336.03    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   3844400 | NC      | $469670.35    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1576300 | NC      | $195571.54    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6381000 | NC      | $269724.87    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12988000 | NC      | $995140.56    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1474900 | NC      | $38052.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    223000 | NC      | $13003.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    936000 | NC      | $38993.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14923900 | NC      | $294448.55    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7341100 | NC      | $63647.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    471400 | NC      | $39874.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7141200 | NC      | $301144.40    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1315800 | NC      | $29342.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    750900 | NC      | $18156.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    696000 | NC      | $50088.58     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2549000 | NC      | $149575.32    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13256000 | NC      | $177630.40    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    834000 | NC      | $21859.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7382000 | NC      | $167690.77    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4964000 | NC      | $45718.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    751000 | NC      | $4911.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    387000 | NC      | $2685.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1989700 | NC      | $5591.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5427000 | NC      | $5915.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13638000 | NC      | $106512.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1626000 | NC      | $30308.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    657000 | NC      | $11707.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2307000 | NC      | $40464.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2307000 | NC      | $41226.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4832000 | NC      | $83545.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2154000 | NC      | $39762.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4646000 | NC      | $83070.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    145000 | NC      | $2546.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    512400 | NC      | $58864.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    696900 | NC      | $176547.56    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    770000 | NC      | $208913.52    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    778400 | NC      | $219908.25    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    898100 | NC      | $271962.28    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    802800 | NC      | $113684.37    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    929000 | NC      | $292059.45    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    741300 | NC      | $210379.24    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    676400 | NC      | $232746.64    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    395500 | NC      | $144366.77    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1468500 | NC      | $583604.32    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    906000 | NC      | $417986.04    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   3902100 | NC      | $733009.48    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1215200 | NC      | $582307.97    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4960100 | NC      | $2015076.26   | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     79300 | NC      | $12188.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    574000 | NC      | $278070.20    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    266900 | NC      | $43974.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    260400 | NC      | $145778.15    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     99100 | NC      | $16658.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    155200 | NC      | $21233.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    579100 | NC      | $85736.24     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1696600 | NC      | $329045.61    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    833300 | NC      | $157992.10    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     37200 | NC      | $9408.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1129700 | NC      | $220332.16    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    388100 | NC      | $74692.25     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1800000 | NC      | $222666.55    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1055800 | NC      | $451801.20    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MD509M8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |    703500 | NC      | $182065.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1088000 | NC      | $258319.28    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    924200 | NC      | $228401.97    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    311700 | NC      | $144314.31    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149B5<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  41615900 | NC      | $1193389.78   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149C3<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  41615900 | NC      | $1248229.36   | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99MS149D1<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  41615900 | NC      | $1303068.95   | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16646400 | NC      | $446566.32    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9137000 | NC      | $928227.83    | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3751000 | NC      | $651098.58    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1989000 | NC      | $656747.91    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10525000 | NC      | $423210.25    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17549000 | NC      | $705294.31    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2253000 | NC      | $228071.19    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4722000 | NC      | $819786.42    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8061000 | NC      | $2664563.55   | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3679000 | NC      | $1155279.58   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1496000 | NC      | $149794.48    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    392000 | NC      | $66071.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    994900 | NC      | $65623.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2639000 | NC      | $754648.44    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1659000 | NC      | $490533.12    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1097000 | NC      | $318700.44    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2980000 | NC      | $649759.08    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4024900 | NC      | $1017695.97   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19510000 | NC      | $742355.50    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2096000 | NC      | $565689.44    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1764000 | NC      | $247753.80    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11852000 | NC      | $977434.44    | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1854000 | NC      | $270239.04    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8064200 | NC      | $1262289.23   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8361800 | NC      | $1312802.60   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4408000 | NC      | $625583.36    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1342000 | NC      | $39199.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    276000 | NC      | $14647.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20182 | NC      | $2716.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     22476 | NC      | $3025.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     35319 | NC      | $4753.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     10629 | NC      | $3837.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      8256 | NC      | $1111.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13761 | NC      | $1852.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13761 | NC      | $1852.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $904.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6880 | NC      | $926.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $1697.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      1835 | NC      | $246.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     27000 | NC      | $5022.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $2492.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     91000 | NC      | $17444.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     91000 | NC      | $17444.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    121000 | NC      | $28894.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     55000 | NC      | $8745.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $17503.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $8427.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $9585.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    194855 | NC      | $74551.52     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       459 | NC      | $61.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     64675 | NC      | $8705.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       917 | NC      | $123.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     64000 | NC      | $9715.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $25781.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    134000 | NC      | $42719.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $2300.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    212631 | NC      | $81352.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    206478 | NC      | $78998.46     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    188000 | NC      | $29892.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    141291 | NC      | $34644.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    252286 | NC      | $96524.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    223000 | NC      | $42749.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    115000 | NC      | $18285.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    410000 | NC      | $76260.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    113000 | NC      | $21018.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    377000 | NC      | $70122.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    149000 | NC      | $27714.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    124000 | NC      | $22419.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $18260.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3119.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    112000 | NC      | $19409.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     12000 | NC      | $2436.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $9744.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     46000 | NC      | $8316.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     23000 | NC      | $3985.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    278000 | NC      | $48177.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     42000 | NC      | $8526.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $6496.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    136000 | NC      | $23568.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    221000 | NC      | $38299.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     66000 | NC      | $11437.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    187334 | NC      | $71674.10     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    102555 | NC      | $39237.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     29356 | NC      | $3951.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    190000 | NC      | $34352.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $6882.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5580.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $9411.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     66000 | NC      | $17404.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    158000 | NC      | $27381.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     27000 | NC      | $4293.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     69000 | NC      | $11957.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     82000 | NC      | $21623.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $8491.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $6412.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     67000 | NC      | $17667.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     85000 | NC      | $15810.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    279000 | NC      | $73572.30     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    122000 | NC      | $24766.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $5372.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $527.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    176000 | NC      | $46411.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    530000 | NC      | $139761.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $13976.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    280000 | NC      | $73836.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    131000 | NC      | $26593.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $723.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    185000 | NC      | $32060.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     38000 | NC      | $7714.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     66000 | NC      | $13398.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    255000 | NC      | $81294.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    130000 | NC      | $26390.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     29956 | NC      | $10814.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    397000 | NC      | $126563.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    141000 | NC      | $44950.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    106000 | NC      | $21518.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    158000 | NC      | $49169.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $812.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    128000 | NC      | $22182.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $10150.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $9300.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $4979.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    102429 | NC      | $36976.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     16972 | NC      | $2284.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $7308.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $4092.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     24311 | NC      | $3272.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     62382 | NC      | $8396.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     19724 | NC      | $2654.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     19724 | NC      | $2654.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     34402 | NC      | $4630.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     37613 | NC      | $5062.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20182 | NC      | $2716.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     57023 | NC      | $13982.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     40550 | NC      | $9942.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     43718 | NC      | $10719.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     69000 | NC      | $23018.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      6837 | NC      | $2615.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    780000 | NC      | $166998.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    312000 | NC      | $66799.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1040000 | NC      | $222664.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    156000 | NC      | $52041.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $9674.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $34027.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $19682.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    335000 | NC      | $111756.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    175000 | NC      | $37467.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $10008.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    115000 | NC      | $38364.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     91000 | NC      | $30357.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    396000 | NC      | $84783.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    229000 | NC      | $49028.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $9647.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $4045.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $16493.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    290000 | NC      | $92452.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    228000 | NC      | $76060.80     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    152000 | NC      | $48457.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    289000 | NC      | $92133.20     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    108000 | NC      | $23122.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    114000 | NC      | $36343.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $44632.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $44632.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32818 | NC      | $12556.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    120000 | NC      | $38256.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     69575 | NC      | $25116.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $1244.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     65000 | NC      | $20228.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     26664 | NC      | $10201.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $6423.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     85463 | NC      | $32698.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    279000 | NC      | $88945.20     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $5912.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    568840 | NC      | $217638.13    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1267000 | NC      | $422671.20    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    913000 | NC      | $195473.30    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    654000 | NC      | $218174.40    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    138000 | NC      | $29545.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     24311 | NC      | $3272.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    205000 | NC      | $37064.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35778 | NC      | $4815.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     32567 | NC      | $4383.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35319 | NC      | $4753.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    194000 | NC      | $35075.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    133021 | NC      | $17904.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $2892.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $1518.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    146000 | NC      | $26396.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     73849 | NC      | $9940.12      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3583.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20641 | NC      | $2778.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     81188 | NC      | $10927.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $3423.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     21558 | NC      | $2901.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     60000 | NC      | $10398.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    237000 | NC      | $41072.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    106000 | NC      | $18369.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | OPTION ON MORTGAGE BONDS              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  40000000 | NC      | $446240.00    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | OPTION ON MORTGAGE BONDS              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  40000000 | NC      | $281360.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                        | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | RA               | CORP              | US        |  11445000 | PA      | $11445000.00  | 6.44%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS COMPETITIVE ELECTRIC HOLDINGS CO LLC / TCEH FINANCE INC               | RIGHTS                                | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      9820 | NS      | $11293.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                           | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  20068209 | NS      | $20068209.00  | 11.30%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   2978000 | NS      | $2978000.00   | 1.68%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  49535200 | NC      | $-291107.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    997300 | NC      | $-12914.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    997300 | NC      | $17885.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2137300 | NC      | $-75190.21    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2137300 | NC      | $60421.47     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1424900 | NC      | $-82212.82    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   1424900 | NC      | $128032.36    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4466700 | NC      | $-72014.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4466700 | NC      | $75298.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6009600 | NC      | $-205768.70   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6009600 | NC      | $318749.18    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4995700 | NC      | $57250.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4995700 | NC      | $-55252.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1978300 | NC      | $-21642.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1978300 | NC      | $18615.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    392600 | NC      | $21691.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    392600 | NC      | $-16881.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   9948700 | NC      | $-33527.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | N/A              | DIR              | CORP              | US        |  11429300 | NC      | $-83548.18    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  26166500 | NC      | $-88231.28    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |  26166500 | NC      | $-16245.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15743100 | NC      | $-208123.78   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15743100 | NC      | $58092.04     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6237500 | NC      | $85266.62     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   6237500 | NC      | $-109281.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   7760400 | NC      | $73180.57     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   7760400 | NC      | $-35697.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5245600 | NC      | $-212236.98   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5245600 | NC      | $159413.78    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  12853300 | NC      | $123134.61    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  12853300 | NC      | $-111823.71   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6426700 | NC      | $-217029.66   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6426700 | NC      | $146335.96    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2865000 | NC      | $-32145.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2865000 | NC      | $50080.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2779100 | NC      | $-29152.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2779100 | NC      | $51218.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6717000 | NC      | $604.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6717000 | NC      | $-268.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    739600 | NC      | $21869.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    739600 | NC      | $-39834.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    934000 | NC      | $-73197.58    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    934000 | NC      | $35361.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    934000 | NC      | $-62139.02    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    934000 | NC      | $34091.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1191600 | NC      | $-61474.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   1191600 | NC      | $-31636.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1387400 | NC      | $-38285.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1387400 | NC      | $174913.67    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2128300 | NC      | $-172860.53   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2128300 | NC      | $332461.74    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4191700 | NC      | $-191728.36   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4191700 | NC      | $559969.20    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1940600 | NC      | $198439.67    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1940600 | NC      | $-52942.79    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2134700 | NC      | $292091.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2134700 | NC      | $-101056.70   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    929600 | NC      | $179660.15    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    929600 | NC      | $-47449.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1936700 | NC      | $-61955.03    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1936700 | NC      | $88429.72     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    701200 | NC      | $126213.31    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |    701200 | NC      | $-50800.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2103600 | NC      | $-80006.40    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2103600 | NC      | $279898.57    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1751900 | NC      | $-56936.75    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1751900 | NC      | $164906.35    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    713100 | NC      | $39790.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    713100 | NC      | $-17299.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   7314500 | NC      | $91943.26     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120200 | NC      | $-192724.33   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6660800 | NC      | $-443809.10   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6660800 | NC      | $579689.42    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  14629100 | NC      | $-540252.66   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  29258100 | NC      | $321253.94    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2053700 | NC      | $106956.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2053700 | NC      | $-52533.65    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  10644300 | NC      | $-62907.81    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  10644300 | NC      | $226723.59    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2078300 | NC      | $-34780.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | SWAPTION                              | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DIR              | CORP              | US        |   2078300 | NC      | $81999.86     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2376500 | NC      | $-93360.91    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2376500 | NC      | $264128.85    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  42445300 | NC      | $-299663.82   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  42445300 | NC      | $1087448.59   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15721800 | NC      | $846147.28    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  15721800 | NC      | $-281263.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    927600 | NC      | $132080.96    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    927600 | NC      | $-79866.36    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9935900 | NC      | $-566246.94   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   9935900 | NC      | $165333.38    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1633300 | NC      | $52543.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1633300 | NC      | $-133685.60   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6632800 | NC      | $-198188.06   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6632800 | NC      | $429938.10    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3532900 | NC      | $-264190.26   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3532900 | NC      | $705414.14    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4059800 | NC      | $793366.12    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4059800 | NC      | $-301115.37   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3458300 | NC      | $-253285.89   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   3458300 | NC      | $688443.78    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  99070400 | NC      | $296939.75    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: 99MK129K6<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | US        |   1095000 | NC      | $952978.50    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Total Return Swap                     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    944000 | NC      | $984261.60    | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $698998.56    | 0.39%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $599577.94    | 0.34%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4489918.02   | 2.53%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796XR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1099045.06   | 0.62%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    182000 | PA      | $180926.20    | 0.10%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    289000 | PA      | $286274.73    | 0.16%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    118000 | PA      | $111500.56    | 0.06%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    143000 | PA      | $132013.31    | 0.07%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    183000 | PA      | $154283.64    | 0.09%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    171000 | PA      | $152417.43    | 0.09%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    671000 | PA      | $575644.19    | 0.32%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    128000 | PA      | $121646.08    | 0.07%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ITAU UNIBANCO HOLDING SA/CAYMAN ISLAND                                      | VAR.RT. CORP. BONDS                   | CUSIP: 46556L2A1<br>LEI: 5493002W2IVG62O3ZJ94 | Long             | DBT              | CORP              | KY        |    930000 | PA      | $845779.20    | 0.48%             | 2031-04-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GUARANTEED RATE INC                                                         | WARRANTS                              | CUSIP: N/A<br>LEI: 549300U3721PJGQZYY68       | Long             | DE               | CORP              | US        |        33 | NS      | $0.33         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer