# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001145549-23-002148
**Filing Date:** 2023-1
**Character Count:** 246971
**Document Hash:** ace4825632dda161f1c0516dc019ee6e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002148.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002148

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** COLUMBIA FUNDS SERIES TRUST I
- **CENTRAL INDEX KEY:** 0000773757
- **IRS NUMBER:** 363376651
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04367
- **FILM NUMBER:** 23546551

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COLUMBIA FUNDS TRUST IX
- **DATE OF NAME CHANGE:** 20031107

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19991025

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** STEINROE MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Columbia Multi Strategy Alternatives Fund (Series ID: S000048058)

| Class ID   | Class Name                                                      | Ticker Symbol   |
|:---|:---|:---|
| C000151801 | Columbia Multi Strategy Alternatives Fund Class A               | CLAAX           |
| C000151802 | Columbia Multi Strategy Alternatives Fund Class C               | CLABX           |
| C000151804 | Columbia Multi Strategy Alternatives Fund Class R               | CRRLX           |
| C000151805 | Columbia Multi Strategy Alternatives Fund Advisor Class         | CLFUX           |
| C000151806 | Columbia Multi Strategy Alternatives Fund Institutional 2 Class | CLIVX           |
| C000151808 | Columbia Multi Strategy Alternatives Fund Institutional 3 Class | CLAYX           |
| C000151809 | Columbia Multi Strategy Alternatives Fund Institutional Class   | CLAZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Series Trust I

- **b. Investment Company Act file number:** 811-04367

- **c. CIK number of Registrant:** 0000773757

- **d. LEI of Registrant:** 549300W5GIE6ZOZOTD82

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** Columbia Multi Strategy Alternatives Fund

- **b. EDGAR series identifier (if any):** S000048058

- **c. LEI of Series:** 549300OOVBIZEI3EBX59

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1103013900.22

**Total Liabilities:** $337238321.57

**Net Assets:** $765775578.65

**Amount of Assets Invested in Other Investment Companies:** $71874718.68

**Delayed Delivery Securities:** $170417702.71

**Cash Not Reported:** $7432739.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 209996.168000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 59242.590300000000

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

- **3-Month:** 38996.624600000000 | **1-Year:** 36345.875400000000 | **5-Year:** 34459.212400000000 | **10-Year:** 78845.056800000000 | **30-Year:** 43846.310800000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000151801 | -1.45%               | 0.18%                | 0.46%                |
| Class ID C000151802 | -1.50%               | 0.11%                | 0.37%                |
| Class ID C000151804 | -1.46%               | 0.18%                | 0.40%                |
| Class ID C000151805 | -1.43%               | 0.25%                | 0.46%                |
| Class ID C000151806 | -1.42%               | 0.21%                | 0.46%                |
| Class ID C000151808 | -1.42%               | 0.21%                | 0.49%                |
| Class ID C000151809 | -1.39%               | 0.18%                | 0.46%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-799115.46              | $-8946751.03                               |
| Month 2  | $-1516469.37             | $-3374564.93                               |
| Month 3  | $-3058856.44             | $10130197.64                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                       | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan                                                   | TRSWAP: MSCI SINGAPORE 12/21/2022  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       243974 | OU      | $-1218.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 3.000000 15-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      6100000 | OU      | $-201511.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 3.250000 15-MAR-2053     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2100000 | OU      | $-74407.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 4.000000 15-MAR-2028     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      8100000 | OU      | $185857.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SINGAPORE 12/21/2022  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       293558 | OU      | $-882.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 0.040000 12-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     45300000 | OU      | $-153038.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.040000 21-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      4600000 | OU      | $-30559.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.040000 21-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      6500000 | OU      | $-43182.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.032500 21-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1300000 | OU      | $7340.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.032500 21-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1300000 | OU      | $7340.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 0.025000 21-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      8300000 | OU      | $97547.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.030000 21-JUN-2028     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      3500000 | OU      | $-58607.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.032500 21-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     40000000 | OU      | $513723.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.030000 21-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      9000000 | OU      | $-208682.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 0.037500 15-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       100000 | OU      | $3471.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 0.025000 21-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     38300000 | OU      | $-277832.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 0.750000 21-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      7700000 | OU      | $-329610.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SOUTH AFRICA 12/21/22 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -4137548 | OU      | $7948.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SINGAPORE 12/21/2022  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       257811 | OU      | $-3084.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 0.750000 21-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      4500000 | OU      | $-192629.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.5000 11-DEC-2024       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2700000 | OU      | $19986.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 5.000000 11-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     12400000 | OU      | $5479.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 5.000000 11-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1000000 | OU      | $441.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | SWP: OIS 2.750000 21-JUN-2053      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       600000 | OU      | $31474.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 4.500000 09-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2400000 | OU      | $48009.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 2.5000 19-DEC-2024       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    111500000 | OU      | $3010437.00   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     14800000 | OU      | $189315.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.500000 15-JUN-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2900000 | OU      | $-25243.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 0.040000 15-DEC-2032     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     12000000 | OU      | $224502.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      5600000 | OU      | $76896.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.500000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      4000000 | OU      | $-27709.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 4.500000 10-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      5200000 | OU      | $111344.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SINGAPORE 12/21/2022  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       184336 | OU      | $-921.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI MEXICO 12/21/2022     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      3003791 | OU      | $-698.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI MEXICO 12/21/2022     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      2997740 | OU      | $-697.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI MEXICO 12/21/2022     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      2850092 | OU      | $-662.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |    -15000000 | OU      | $-59235.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     15000000 | OU      | $751144.50    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 0.045000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     48900000 | OU      | $-496969.96   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 0.040000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    133000000 | OU      | $866094.17    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     20000000 | OU      | $1001526.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 5.000000 10-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     10800000 | OU      | $534492.34    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWP: NZD 4.647500 03-NOV-2032      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     77987000 | OU      | $-1119636.05  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.025000 15-DEC-2032     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       200000 | OU      | $-337.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.030000 15-DEC-2032     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       100000 | OU      | $242.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.030000 18-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       400000 | OU      | $143.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.030000 19-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     32800000 | OU      | $14297.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.025000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       300000 | OU      | $-497.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     30000000 | OU      | $1768269.00   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 5.500000 12-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     28600000 | OU      | $125312.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 4.500000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      7300000 | OU      | $40928.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI BRAZIL 12/21/2022     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3469026 | OU      | $16377.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     12660000 | OU      | $525595.09    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 0.030000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     40500000 | OU      | $-293791.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                              | SYN WIG20(PLN20) INDEX DEC 22      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | PL        |          -69 | NC      | $-84779.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SYN SWISS MKT IX DEC 22            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |            1 | NC      | $2342.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SYN SWISS MKT IX DEC 22            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |          -93 | NC      | $-331881.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TOPIX INDEX DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |          290 | NC      | $1763859.10   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | TOPIX INDEX DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | JP        |           64 | NC      | $118981.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | TOPIX INDEX DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | JP        |          -89 | NC      | $-803999.07   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US 2YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          -62 | NC      | $-31706.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | FTSE TAIWAN DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |           37 | NC      | $17732.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | FTSE TAIWAN DEC 22                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |         -201 | NC      | $-34282.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | US 10YR NOTE MAR 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |          209 | NC      | $191733.26    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US 10YR NOTE MAR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -1212 | NC      | $-868144.17   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                        | US DOLLARS                         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NO        |  -1349385000 | OU      | $-2656640.89  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                        | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NO        |   2008685000 | OU      | $7911187.39   | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | EURO BUXL 30YR BOND DEC 22         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |           -6 | NC      | $-49568.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US LONG BOND MAR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          -30 | NC      | $-31874.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | EURO STOXX 50 DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |          164 | NC      | $298652.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | EURO STOXX 50 DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |          -40 | NC      | $-120853.81   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | EURO STOXX 50 DEC 22               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |          -56 | NC      | $-282366.56   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | WHEAT MAR 23                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -77 | NC      | $167452.93    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | WHEAT MAR 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -185 | NC      | $203703.84    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-C                        | AJAXM_21-C                         | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       315282 | PA      | $295607.60    | 0.04%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)              | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44000000 | PA      | $41605780.92  | 5.43%             | 2052-12-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)              | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75000000 | PA      | $72996093.75  | 9.53%             | 2052-12-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)              | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33000000 | PA      | $32835000.00  | 4.29%             | 2052-12-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-2                         | AOMT_19-2                          | CUSIP: 03463WAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2700000 | PA      | $2601577.71   | 0.34%             | 2049-03-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_21-5                         | AOMT_21-5                          | CUSIP: 03465HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       407577 | PA      | $315047.33    | 0.04%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_17-44A                                   | ARES_17-44A                        | CUSIP: 04016NAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1280107.50   | 0.17%             | 2034-04-15      | Variable      | 10.95%                | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH  | BBCMS_18-BXH                       | CUSIP: 05491RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       207394 | PA      | $198903.47    | 0.03%             | 2037-10-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                              | GASOLINE RBOB JAN 23               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            2 | NC      | $-12201.14    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | GASOLINE RBOB JAN 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           64 | NC      | $20728.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | AUST 10YR BOND DEC 22              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |          288 | NC      | $367485.77    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | AUST 10YR BOND DEC 22              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | AU        |          253 | NC      | $638148.05    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | SPI 200 DEC 22                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | AU        |          806 | NC      | $7249470.47   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SPI 200 DEC 22                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | AU        |          120 | NC      | $378933.76    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | FTSE CHINA A50 DEC 22              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |         -100 | NC      | $-55282.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | AUST 3YR BOND DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | AU        |         -227 | NC      | $-87510.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | FTSE 100 INDEX DEC 22              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | GB        |          192 | NC      | $623135.19    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | FTSE 100 INDEX DEC 22              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | GB        |         -150 | NC      | $-688941.42   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | FTSE 100 INDEX DEC 22              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | GB        |         -335 | NC      | $-1957710.46  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | FTSE/JSE TOP 40 DEC 22             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | ZA        |          183 | NC      | $580309.27    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -3500000 | OU      | $-618515.80   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | ICE: (CDX.NA.HY.39.V1)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     11250000 | OU      | $-200411.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -2500000 | OU      | $-441797.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -2000000 | OU      | $-353437.60   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.12.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -3000000 | OU      | $-528750.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |      -750000 | OU      | $-132539.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -5000000 | OU      | $-883594.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -1200000 | OU      | $-212062.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |     -5000000 | OU      | $-883594.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      7450000 | OU      | $20855.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     25000000 | OU      | $69985.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     14160000 | OU      | $83728.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     14160000 | OU      | $83728.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 0.040000 11-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     40500000 | OU      | $-538851.72   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 3.500000 12-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     45800000 | OU      | $91254.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |    -71600000 | OU      | $-3796365.63  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |      -139000 | OU      | $70.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |   -175282500 | OU      | $-6741750.12  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     -5216500 | OU      | $-54337.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |      -665000 | OU      | $-89.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| USASF RECIEVABLES LLC USAUT_21_1                           | USAUT_21-1A                        | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1125000 | PA      | $1017432.11   | 0.13%             | 2027-03-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                     | TREASURY BILL                      | CUSIP: 912796XQ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     89000000 | PA      | $86572262.45  | 11.31%            | 2023-07-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     -3175999 | OU      | $4232.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |    -66579000 | OU      | $-4736041.91  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |  -5634309250 | OU      | $-1235160.38  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        | -51613203499 | OU      | $-11313.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        | -49000000000 | OU      | $-15946.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |    -14742000 | OU      | $87063.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                     | TREASURY BILL                      | CUSIP: 912796YT0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     70000000 | PA      | $67073458.20  | 8.76%             | 2023-11-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST1                    | UPSPT_21-ST1                       | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       284742 | PA      | $270367.34    | 0.04%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |    -11659000 | OU      | $-28872.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |    -13836750 | OU      | $-39993.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |   -730000000 | OU      | $127382.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |   -395962856 | OU      | $-36053.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST7                    | UPSPT_21-ST7                       | CUSIP: 91683KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229489 | PA      | $213245.19    | 0.03%             | 2029-09-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL3                                          | VCAT_21-NPL3                       | CUSIP: 91824MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $243128.61    | 0.03%             | 2051-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| VWH CAPITAL VCAT_21-NPL6                                   | VCAT_21-NPL6                       | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       960106 | PA      | $861980.42    | 0.11%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-4                      | VERUS_19-4                         | CUSIP: 92537KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $392356.35    | 0.05%             | 2059-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  -3838474750 | OU      | $384679.33    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  -9408217250 | OU      | $-3688696.97  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  -2190847500 | OU      | $-198046.61   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        | -44365643750 | OU      | $-1372459.62  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |  -3114866500 | OU      | $-83428.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                   | VERUS_20-INV1                      | CUSIP: 92537TAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       550000 | PA      | $508486.44    | 0.07%             | 2060-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                   | VERUS_20-INV1                      | CUSIP: 92537TAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $137028.74    | 0.02%             | 2060-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                   | VERUS_20-INV1                      | CUSIP: 92537TAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $138203.97    | 0.02%             | 2060-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-NPL1                   | VERUS_20-NPL1                      | CUSIP: 92538AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1033683 | PA      | $1023437.18   | 0.13%             | 2050-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                      | VERUS_21-5                         | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $186329.61    | 0.02%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                      | VERUS_21-5                         | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $153302.83    | 0.02%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                      | VERUS_20-4                         | CUSIP: 92538LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       150000 | PA      | $116848.85    | 0.02%             | 2065-05-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                      | VERUS_20-4                         | CUSIP: 92538LAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       327000 | PA      | $237194.94    | 0.03%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                 | VISIO_19-2                         | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $160821.56    | 0.02%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                 | VISIO_19-2                         | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       100000 | PA      | $80452.97     | 0.01%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| VSTA_20-1                                                  | VSTA_20-1                          | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $709067.52    | 0.09%             | 2065-03-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL4         | VOLT_21-NPL4                       | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       717955 | PA      | $664317.34    | 0.09%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP          | WFCM_17-SMP                        | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $970886.10    | 0.13%             | 2034-12-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | BIST 30 FUTURES DEC 22             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | TR        |         3203 | NC      | $1546259.88   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | FTSE/JSE TOP 40 DEC 22             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ZA        |            5 | NC      | $6941.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI NETHERLAND 12/21/2022 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       288214 | OU      | $-4317.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI ITALY INDEX 12/21/202 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -3753081 | OU      | $40425.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SPAIN 12/21/2022      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      1820682 | OU      | $-66850.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 3.500000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     20500000 | OU      | $270833.49    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 3.000000 15-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2400000 | OU      | $-66550.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 4.000000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     67600000 | OU      | $233005.03    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 4.000000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     58200000 | OU      | $200604.93    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 3.500000 13-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      3000000 | OU      | $2718.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI SINGAPORE 12/21/2022  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |       433732 | OU      | $-2167.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.000000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      4700000 | OU      | $85556.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: GBP 4.000000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     86900000 | OU      | $-769213.21   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: GBP 4.000000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     11200000 | OU      | $-99139.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: GBP 3.000000 15-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     18200000 | OU      | $636301.83    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 1.500000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    111400000 | OU      | $3155430.14   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 2.000000 15-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     18400000 | OU      | $-1065007.96  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI ITALY INDEX 12/21/202 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |     -1483302 | OU      | $15976.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |    -12420000 | OU      | $-37297.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 3.500000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     43400000 | OU      | $94198.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | TRSWAP: MSCI MEXICO 12/21/2022     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |      1402657 | OU      | $-326.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWP: SEK 3.098000 05-OCT-2032      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |    176000000 | OU      | $-572204.08   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWP: NZD 4.488000 05-OCT-2032      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     16000000 | OU      | $-100174.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 3.500000 18-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      3000000 | OU      | $1399.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 3.750000 19-JUN-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       200000 | OU      | $766.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 0.050000 12-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     73200000 | OU      | $-106206.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -28000000 | OU      | $-178603.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | AU        |   -106760000 | OU      | $-4370045.61  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | JP        |  -9320025000 | OU      | $-1569355.40  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | NZ        |   -121301000 | OU      | $-1479751.65  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | SE        |   -707625000 | OU      | $293913.28    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | US DOLLARS                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | SE        |   -786658000 | OU      | $-4851469.66  | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | AU        |    106760000 | OU      | $1085538.29   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | JP        |   9320025000 | OU      | $201329.29    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | NZ        |    121301000 | OU      | $7451347.50   | 0.97%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays                                                   | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | SE        |   1494283000 | OU      | $6504645.30   | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | SET50 FUTURES DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | TH        |          642 | NC      | $159871.45    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | SOYBEAN OIL JAN 23                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            6 | NC      | $-4930.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SOYBEAN OIL JAN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          115 | NC      | $79447.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | CORN MAR 23                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |         -122 | NC      | $31377.69     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | CORN MAR 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -94 | NC      | $5789.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | CAC40 10 EURO DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | FR        |          228 | NC      | $243222.22    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | WTI CRUDE JAN 23                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            3 | NC      | $-18465.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | WTI CRUDE JAN 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           54 | NC      | $73300.41     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | CAN 10YR BOND MAR 23               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | CA        |        -1539 | NC      | $-344018.98   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | CAN 10YR BOND MAR 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | CA        |         -129 | NC      | $-76790.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | BRENT CRUDE (ICE) FEB 23           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | GB        |          -12 | NC      | $2630.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | COTTON NO.2 MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           22 | NC      | $-28831.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 0.040000 09-DEC-2032     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     10800000 | OU      | $-53368.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | SWP: CAD 0.025000 19-DEC-2032      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     30000000 | OU      | $-1925111.48  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 0.025000 18-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     37100000 | OU      | $46867.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |     25000000 | OU      | $104172.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 0.035000 18-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |       500000 | OU      | $-398.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: EUR 1.500000 21-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      1800000 | OU      | $-49996.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 3.250000 19-DEC-2032     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      2900000 | OU      | $-49108.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 3.250000 19-DEC-2024     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     16200000 | OU      | $266057.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 3.500000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      5500000 | OU      | $15808.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24        | GNMA_21-24                         | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2205583 | PA      | $330321.53    | 0.04%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-25        | GNMA_21-25                         | CUSIP: 38382NTM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4518438 | PA      | $697724.04    | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42        | GNMA_21-42                         | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3777231 | PA      | $519265.78    | 0.07%             | 2050-11-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96        | GNMA_21-96                         | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3678707 | PA      | $59726.75     | 0.01%             | 2051-06-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97        | GNMA_21-97                         | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3629600 | PA      | $438094.91    | 0.06%             | 2051-06-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122       | GNMA_21-122                        | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4051216 | PA      | $462851.05    | 0.06%             | 2051-07-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122       | GNMA_21-122                        | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      7920151 | PA      | $78487.90     | 0.01%             | 2051-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117       | GNMA_21-117                        | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2523395 | PA      | $305598.80    | 0.04%             | 2051-07-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158       | GNMA_21-158                        | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2593985 | PA      | $421438.52    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142       | GNMA_21-142                        | CUSIP: 38382XSW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5230831 | PA      | $669535.85    | 0.09%             | 2051-08-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161       | GNMA_21-161                        | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3523276 | PA      | $487822.29    | 0.06%             | 2051-09-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156       | GNMA_21-156                        | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3927265 | PA      | $528905.94    | 0.07%             | 2051-09-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160       | GNMA_21-160                        | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6079215 | PA      | $56603.57     | 0.01%             | 2051-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160       | GNMA_21-160                        | CUSIP: 38383AZY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5183640 | PA      | $694142.74    | 0.09%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193       | GNMA_21-193                        | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     21830400 | PA      | $124201.88    | 0.02%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                | HILT_16-SFP                        | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $1567692.91   | 0.20%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST HILT_16-HHV                               | HILT_16-HHV                        | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2540043.00   | 0.33%             | 2038-11-05      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| HOME RE 2018-1 LTD HMIR_18-1                               | HMIR_18-1                          | CUSIP: 43730MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       641687 | PA      | $639027.76    | 0.08%             | 2028-10-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| HOME RE LTD HMIR_20-1                                      | HMIR_20-1                          | CUSIP: 43731WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       110962 | PA      | $110829.98    | 0.01%             | 2030-10-25      | Variable      | 8.19%                 | No            |                  2 | On Loan: No      |
| HOME RE LTD HMIR_20-1                                      | HMIR_20-1                          | CUSIP: 43731WAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1200000 | PA      | $1198501.44   | 0.16%             | 2030-10-25      | Variable      | 9.29%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | LME ZINC DEC 22                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -17 | NC      | $-38093.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | MSCI EMER MKT INDEX (ICE) DEC 22   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |         -231 | NC      | $-1148018.68  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | MSCI EAFE INDEX DEC 22             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           -1 | NC      | $-6581.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |     -8450000 | OU      | $-241428.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |     -2985000 | OU      | $4379.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |    -32235000 | OU      | $-345081.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  -7599999999 | OU      | $-22341.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |   -477852000 | OU      | $-1405889.43  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |   -123915428 | OU      | $-54344.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2              | BRAVO_21-NQM2                      | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $234638.91    | 0.03%             | 2060-03-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_22-JR1                   | CSMC_22-JR1                        | CUSIP: 12546WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1898915 | PA      | $1795469.31   | 0.23%             | 2066-10-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                   | CLNY_19-IKPR                       | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $825652.89    | 0.11%             | 2038-11-15      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |      6019000 | OU      | $85304.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |      3175999 | OU      | $-5938.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |   6287730000 | OU      | $1102617.96   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |     40000000 | OU      | $-434.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |    231140250 | OU      | $127.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | HUNGARIAN FURINT                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | HU        |     10000000 | OU      | $-159.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  14000000000 | OU      | $103.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  89226407000 | OU      | $-97851.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDONESIAN RUPIA                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ID        |  51613203499 | OU      | $18844.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |     17342750 | OU      | $90084.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | ISRAELI SHEKEL                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IL        |      4446000 | OU      | $-37062.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |    310000000 | OU      | $86772.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |   1355870000 | OU      | $-192319.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | IN        |    275962856 | OU      | $21801.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |  10472262000 | OU      | $2383267.55   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |    583582500 | OU      | $-53347.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |    600000000 | OU      | $21805.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | KOREAN WON                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |  39028053500 | OU      | $1427684.79   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | KOREAN WON                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | KW        |   2435669750 | OU      | $61938.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    905336000 | OU      | $2111126.49   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    112756500 | OU      | $37053.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     46000000 | OU      | $-21777.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    595054001 | OU      | $2505134.55   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     -4590000 | OU      | $9354.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |   -103222999 | OU      | $-3390549.48  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     -1747000 | OU      | $-25005.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |    -23936000 | OU      | $8844.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |   -117974666 | OU      | $-508751.65   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     -5347000 | OU      | $-29090.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |    -90996000 | OU      | $-1051438.81  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |    -64851000 | OU      | $785338.21    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |    -25628000 | OU      | $-214366.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     -2026000 | OU      | $3524.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     -5280000 | OU      | $-11685.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |   -108497000 | OU      | $-3235043.82  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     -6082714 | OU      | $5487.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |    -12655428 | OU      | $-151138.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |  -1300000000 | OU      | $4644.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |  -6417628428 | OU      | $-365325.67   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.000000 12-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      6100000 | OU      | $80007.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 2.500000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     11000000 | OU      | $467533.10    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 2.500000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      6400000 | OU      | $272019.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 3.500000 19-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    332600000 | OU      | $217502.27    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: OIS 2.750000 15-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     15100000 | OU      | $412607.35    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: CAD 3.250000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     15600000 | OU      | $217344.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 4.000000 13-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    104400000 | OU      | $-380475.94   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1       | CAS_19-HRP1                        | CUSIP: 20754PAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       343241 | PA      | $330545.03    | 0.04%             | 2039-11-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB_18-P1                   | CLUB_18-P1                         | CUSIP: 21051U107<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $590000.00    | 0.08%             | 2025-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |  -1300000000 | OU      | $-53746.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |   -119041000 | OU      | $290562.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB_18-P2                   | CLUB_18-P2                         | CUSIP: 21052N102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $855000.00    | 0.11%             | 2025-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)              | CUSIP: 21H0406C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12000000 | PA      | $11453906.16  | 1.50%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |   -185233000 | OU      | $-641925.99   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |    -42492000 | OU      | $-128794.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)              | CUSIP: 21H0526C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17000000 | PA      | $17201619.66  | 2.25%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL2                | CSMC_20-RPL2                       | CUSIP: 22946BAP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1435667 | PA      | $1413988.72   | 0.18%             | 2060-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: AUD 4.000000 10-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |      7600000 | OU      | $-50654.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -28000000 | OU      | $-913892.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_19-1                                     | EMIR_19-1                          | CUSIP: 269822AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       481252 | PA      | $463826.99    | 0.06%             | 2029-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_19-1                                     | EMIR_19-1                          | CUSIP: 269822AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1500000 | PA      | $1429410.15   | 0.19%             | 2029-04-25      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  -9675820000 | OU      | $36294.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        | -54985334000 | OU      | $-296648.59   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  -3800000000 | OU      | $4553.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD EMIR_18-1                              | EMIR_18-1                          | CUSIP: 269826AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1825512 | PA      | $1811667.61   | 0.24%             | 2028-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-2A             | EART_21-2A                         | CUSIP: 30165XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $782983.17    | 0.10%             | 2028-07-17      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4890372 | PA      | $4373939.35   | 0.57%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS                    | CUSIP: 3133KPFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3342695 | PA      | $2976104.14   | 0.39%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NZD 4.500000 12-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |     24600000 | OU      | $-179173.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 4.000000 19-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    541000000 | OU      | $-172865.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                     | FNMA_13-101                        | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       754835 | PA      | $92317.63     | 0.01%             | 2043-10-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-53                                      | FNMA_16-53                         | CUSIP: 3136AS4Y9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     14541912 | PA      | $2271724.39   | 0.30%             | 2046-08-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-81                                      | FNMA_17-81                         | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2196933 | PA      | $256277.76    | 0.03%             | 2047-10-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                      | FNMA_20-38                         | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3086125 | PA      | $282586.29    | 0.04%             | 2050-06-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                     | FHLMC_4606                         | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3928192 | PA      | $391196.85    | 0.05%             | 2044-12-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987          | FHLMC_4987                         | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1344162 | PA      | $197638.60    | 0.03%             | 2050-06-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: NOK 4.000000 19-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    594900000 | OU      | $-190087.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 3.500000 19-MAR-2025     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    200900000 | OU      | $94874.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_19-2                    | HPA_19-2                           | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       331130 | PA      | $274290.29    | 0.04%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2               | HOF_20-2                           | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $222677.05    | 0.03%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | FSWP: SEK 3.000000 16-MAR-2033     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |    131700000 | OU      | $-321247.37   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                     | FHLMC_4993                         | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1926881 | PA      | $292809.95    | 0.04%             | 2050-07-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105          | FHLMC_5105                         | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2848334 | PA      | $542532.79    | 0.07%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-BPL1            | HOF_20-BPL1                        | CUSIP: 43789YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       801223 | PA      | $799004.91    | 0.10%             | 2025-08-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                 | IMPRL_21-NQM3                      | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $314998.20    | 0.04%             | 2056-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| LPLMS_21-2                                                 | LPLMS_21-2A                        | CUSIP: 50214JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       545596 | PA      | $525793.69    | 0.07%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LPLMS_21-2                                                 | LPLMS_21-2A                        | CUSIP: 50214JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $454062.50    | 0.06%             | 2029-01-15      | Fixed         | 2.33%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT1                          | BVRT_21-CRT1                       | CUSIP: 512366AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1875000 | PA      | $1785328.13   | 0.23%             | 2032-07-10      | Variable      | 3.59%                 | No            |                  3 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                    | LMAT_21-GS1                        | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       403200 | PA      | $347980.94    | 0.05%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    291252999 | OU      | $-322988.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |     84439714 | OU      | $214575.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-SL2                    | LMAT_21-SL2                        | CUSIP: 52476TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       751082 | PA      | $647268.49    | 0.08%             | 2068-10-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| LENDING CLUB RECEIVABLES TRUST LCRT_20-2                   | LCRT_20-2                          | CUSIP: 52605L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        85000 | PA      | $191250.00    | 0.02%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Citi                                                       | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |    131012500 | OU      | $6130816.70   | 0.80%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |    447036000 | OU      | $121510.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1          | LDPT_21-1                          | CUSIP: 52607DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150000 | PA      | $1112625.00   | 0.15%             | 2027-04-15      | Fixed         | 4.93%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1          | LDPT_21-1                          | CUSIP: 52607DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $907500.00    | 0.12%             | 2027-04-15      | Fixed         | 7.23%                 | No            |                  3 | On Loan: No      |
| Citi                                                       | PHILIPPINE PESO                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |     30000000 | OU      | $8858.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |    167456000 | OU      | $2548287.13   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A          | LDPT_21-A                          | CUSIP: 52607FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1888780.60   | 0.25%             | 2028-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LOAN REVOLVING ADVANCE INVESTMENT TRUST LRAIT_21-2         | LRAIT_21-2                         | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       830463 | PA      | $830463.00    | 0.11%             | 2023-06-30      | Variable      | 6.62%                 | No            |                  3 | On Loan: No      |
| MATR_21-1                                                  | MATR_21-1                          | CUSIP: 55283RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       638192 | PA      | $545454.45    | 0.07%             | 2023-11-29      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_20-47A                       | MDPK_20-47A                        | CUSIP: 55820GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $478708.00    | 0.06%             | 2034-01-19      | Variable      | 10.20%                | No            |                  2 | On Loan: No      |
| Citi                                                       | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |     13779000 | OU      | $32033.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |    671134000 | OU      | $1676741.76   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_19-RLJ  | BAMLL_19-RLJ                       | CUSIP: 05492HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1206762.25   | 0.16%             | 2036-04-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_16                           | MDPK_16-24A                        | CUSIP: 55820NAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      7000000 | PA      | $6792583.00   | 0.89%             | 2029-10-20      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_21-1A                           | MFT_21-1A                          | CUSIP: 57110NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $90163.57     | 0.01%             | 2031-06-16      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                 | MSC_19-MEAD                        | CUSIP: 61771LAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       600000 | PA      | $514298.82    | 0.07%             | 2036-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_18-1                                   | OMIR_18-1A                         | CUSIP: 67400CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3017857 | PA      | $3006649.28   | 0.39%             | 2028-07-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                  | OMIR_21-1A                         | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $451342.50    | 0.06%             | 2033-10-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_20-2A                                  | OMIR_20-2A                         | CUSIP: 67401JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $996170.20    | 0.13%             | 2030-10-25      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 48 OCT47_20-1A                 | OCT47_20-1A                        | CUSIP: 67576YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |       750000 | PA      | $657120.00    | 0.09%             | 2034-07-20      | Variable      | 10.49%                | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | EURO-OAT DEC 22                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          272 | NC      | $-283121.76   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | EURO-OAT DEC 22                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |          112 | NC      | $610245.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | EURO-OAT DEC 22                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          -18 | NC      | $-68341.14    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                       | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |     73000000 | OU      | $-37211.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |     29000000 | OU      | $41716.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     19031000 | OU      | $518887.11    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SINGAPORE DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |      4051000 | OU      | $34409.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |    370325875 | OU      | $346010.82    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | TAIWAN NEW DOLLAR                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |      1000000 | OU      | $695.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-DSNY | BAMLL_18-DSNY                      | CUSIP: 054967AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2065000 | PA      | $1941059.53   | 0.25%             | 2034-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                    | BFLD_19-DPLO                       | CUSIP: 054970AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       300000 | PA      | $280361.28    | 0.04%             | 2034-10-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    202613500 | OU      | $284773.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    100826500 | OU      | $-59570.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |     46189000 | OU      | $20626.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |     91189000 | OU      | $-75037.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |   -103075000 | OU      | $67396.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |   -163487000 | OU      | $-292940.44   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    -10750000 | OU      | $11502.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | ZA        |    -12750000 | OU      | $-5290.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | DJIA MINI e-CBOT DEC 22            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          -11 | NC      | $-148492.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                       | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     11725000 | OU      | $113812.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     78754000 | OU      | $-1483390.84  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     11335000 | OU      | $-50897.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     72891428 | OU      | $1800573.63   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     11274714 | OU      | $-25034.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |     45892000 | OU      | $-123261.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | SWISS FRANC                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CH        |      1633000 | OU      | $9100.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |      2050000 | OU      | $-1471.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |   9380018000 | OU      | $414821.31    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CHILEAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CL        |   2316519428 | OU      | $81709.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |       350000 | OU      | $5548.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | IN        |    607285000 | OU      | $94484.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | INDIAN RUPEE                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | IN        |    515310000 | OU      | $-87227.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |   5565000000 | OU      | $1813572.22   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | KOREAN WON                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | KW        |   7367590000 | OU      | $459648.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | MX        |    417650000 | OU      | $788714.31    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |    206414000 | OU      | $607597.64    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CHINESE OFFSHORE YUAN (HONG KONG)  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CN        |     77901000 | OU      | $-153123.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | NORWAY KRONA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NO        |    392250000 | OU      | $914150.90    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |     62050000 | OU      | $3399844.06   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | POLISH ZLOTY                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | PL        |     45765000 | OU      | $276900.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SE        |    270500000 | OU      | $1160038.28   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  30699999999 | OU      | $97864.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |  31353821000 | OU      | $-428527.87   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SE        |      9000000 | OU      | $-3043.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | TURKISH LIRA                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | TR        |     31945000 | OU      | $102901.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | ZA        |    370675000 | OU      | $444277.72    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SOUTH AFRICA COMM. RD              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | ZA        |    323065000 | OU      | $-16008.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | ZA        |   -370675000 | OU      | $-1152826.16  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                              | NATURAL GAS JAN 23                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -61 | NC      | $-113451.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R02             | CAS_21-R02                         | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1100000 | PA      | $910260.23    | 0.12%             | 2041-11-25      | Variable      | 9.72%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01             | CAS_22-R01                         | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3500000 | PA      | $2969425.90   | 0.39%             | 2041-12-25      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R07  | CAS_22-R07                         | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       550000 | PA      | $568217.71    | 0.07%             | 2042-06-25      | Variable      | 15.52%                | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | EURO-SCHATZ DEC 22                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |         -211 | NC      | $-12839.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | AMSTERDAM INDEX DEC 22             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | NL        |         -118 | NC      | $-260004.76   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | S&P500 EMINI DEC 22                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |         -439 | NC      | $-4851001.43  | -0.63%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | S&P500 EMINI DEC 22                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |         -202 | NC      | $-2796416.60  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                       | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |   2385334000 | OU      | $7535.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | COLOMBIAN PESO                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CO        |   2892667000 | OU      | $-2396.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | NATURAL GAS JAN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -39 | NC      | $-182495.04   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | NIKKEI 225 (OSE) DEC 22            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | JP        |           -3 | NC      | $-23093.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                       | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |    384915428 | OU      | $811530.07    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CZECH KORUNA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CZ        |      7000000 | OU      | $4486.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | S&P MID 400 EMINI DEC 22           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           -5 | NC      | $-78405.83    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US 5YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -826 | NC      | $-534390.79   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LONG GILT MAR 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |          361 | NC      | $97347.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LONG GILT MAR 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | GB        |         -186 | NC      | $137185.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | NASDAQ 100 E-MINI DEC 22           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          -15 | NC      | $-268251.60   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LONG GILT MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | GB        |          -93 | NC      | $-48981.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | GOLD 100 OZ FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |            6 | NC      | $2865.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | GOLD 100 OZ FEB 23                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           -8 | NC      | $1011.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                | US DOLLARS                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | CH        |    -71270000 | OU      | $-3865000.53  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | US DOLLARS                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | SE        |   -691797000 | OU      | $438090.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | CA        |      5002000 | OU      | $496.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | CA        |     84309000 | OU      | $-754709.55   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | SWISS FRANC                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | CH        |      3813000 | OU      | $194682.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | SWISS FRANC                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | CH        |      4818000 | OU      | $-2460.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | DAX INDEX DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | DE        |          -66 | NC      | $-3002139.82  | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | DAX INDEX DEC 22                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | DE        |          -10 | NC      | $-43702.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | COPPER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -43 | NC      | $-102715.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | NY HARBOR ULSD (HEAT OIL) JAN 23   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |            1 | NC      | $-7184.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | NY HARBOR ULSD (HEAT OIL) JAN 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           17 | NC      | $16251.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | IBEX 35 INDEX DEC 22               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | ES        |           43 | NC      | $82411.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R                 | PMTCR_19-2R                        | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       717449 | PA      | $678850.18    | 0.09%             | 2023-05-27      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Citi                                                       | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |      7327000 | OU      | $201657.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |       719000 | OU      | $-2470.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175       | GNMA_20-175                        | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3415135 | PA      | $477512.00    | 0.06%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-FT1                       | PNMSR_18-FT1                       | CUSIP: 69346MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $471148.60    | 0.06%             | 2023-04-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT1                       | PNMSR_18-GT1                       | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2750000 | PA      | $2667722.75   | 0.35%             | 2023-02-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7         | GNMA_21-7                          | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1839451 | PA      | $374210.82    | 0.05%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191       | GNMA_20-191                        | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2315395 | PA      | $364125.75    | 0.05%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT2                       | PNMSR_18-GT2                       | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4250000 | PA      | $4056240.80   | 0.53%             | 2025-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                         | PRPM_21-1                          | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       711263 | PA      | $648288.64    | 0.08%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |     -3100000 | OU      | $58639.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |    -58650000 | OU      | $-762076.52   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                         | PRPM_21-1                          | CUSIP: 693577AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3250000 | PA      | $2728973.00   | 0.36%             | 2026-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                  | PRPM_21-3                          | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       712086 | PA      | $625914.88    | 0.08%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRPM_21-4                                                  | PRPM_21-4                          | CUSIP: 693583AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $334060.92    | 0.04%             | 2026-04-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-6                  | PRPM_20-6                          | CUSIP: 693587AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $178716.62    | 0.02%             | 2025-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CH        |    -64600000 | OU      | $-1937612.84  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |    -33200000 | OU      | $-1421033.07  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-5                                         | PRPM_21-5                          | CUSIP: 69358DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $552548.36    | 0.07%             | 2026-06-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                  | PRPM_21-2                          | CUSIP: 69359UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $822618.80    | 0.11%             | 2026-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-10                 | PRPM_21-10                         | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       926522 | PA      | $816132.03    | 0.11%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-7            | PRPM_21-7                          | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1298227 | PA      | $1147881.10   | 0.15%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | GB        |    -25150000 | OU      | $-1560548.41  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | IN        |  -1122595000 | OU      | $-90162.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | JP        |   -390000000 | OU      | $-184314.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | KW        | -32506575000 | OU      | $-1208503.58  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_21-NPL6          | PRET_21-NPL6                       | CUSIP: 69362GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $350299.00    | 0.05%             | 2051-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_22-NPL1                                      | PRET_22-NPL1                       | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       823351 | PA      | $740994.20    | 0.10%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-2                   | PAID_20-2                          | CUSIP: 69546JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141662 | PA      | $138828.69    | 0.02%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-2                   | PAID_21-2                          | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       474587 | PA      | $441067.47    | 0.06%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | MX        |   -174020000 | OU      | $-130174.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NO        |   -122000000 | OU      | $-687977.16   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                   | PAID_20-3                          | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $415705.60    | 0.05%             | 2027-05-17      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                   | PAID_21-5                          | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245427 | PA      | $235980.59    | 0.03%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | NZ        |    -54600000 | OU      | $-1421638.37  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | PL        |   -102510000 | OU      | $-1972994.64  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | SE        |   -244000000 | OU      | $-531828.97   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | TR        |   -148340000 | OU      | $-360659.38   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                   | PAID_21-5                          | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865000 | PA      | $224358.51    | 0.03%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                   | PAID_21-1                          | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       696200 | PA      | $6887.51      | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley                                             | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | AU        |     33400000 | OU      | $150382.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | BR        |     68590000 | OU      | $328379.63    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |    185095500 | OU      | $8679962.03   | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     17217500 | OU      | $164037.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     55748000 | OU      | $1725037.80   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     71343000 | OU      | $4581167.87   | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |      9900000 | OU      | $161023.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                   | PAID_22-3                          | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $777146.40    | 0.10%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_20-4A                 | PSTAT_20-4A                        | CUSIP: 69701QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $943564.00    | 0.12%             | 2028-11-25      | Variable      | 11.81%                | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | US ULTRA T-BOND MAR 23             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |           89 | NC      | $-101957.60   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US ULTRA T-BOND MAR 23             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |          -20 | NC      | $-38015.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | US ULTRA T-BOND MAR 23             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |         -110 | NC      | $-252977.45   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                    | BFLD_19-DPLO                       | CUSIP: 054970AS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $934048.80    | 0.12%             | 2034-10-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| BAMLL_13-WBRK                                              | BAMLL_13-WBRK                      | CUSIP: 05525BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $415867.40    | 0.05%             | 2037-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                        | BX_19-OC11                         | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $845175.50    | 0.11%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BXP TRUST BXP_21-601L                                      | BXP_21-601L                        | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $913027.35    | 0.12%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-MFM1                    | BX_21-MFM1                         | CUSIP: 05608VAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $90512.66     | 0.01%             | 2034-01-15      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_20-4A                          | BCC_20-4A                          | CUSIP: 05684HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $858026.70    | 0.11%             | 2033-10-20      | Variable      | 12.19%                | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-2F                            | BVRT_21-2F                         | CUSIP: 07335MAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250444 | PA      | $250708.08    | 0.03%             | 2032-01-10      | Variable      | 3.76%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-3F                            | BVRT_21-3F                         | CUSIP: 07335NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3000000 | PA      | $3000000.00   | 0.39%             | 2033-07-12      | Variable      | 4.19%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs                                              | SYN DTOP INDEX DEC 22              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | ZA        |            1 | NC      | $157.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                              | SYN TAIEX DEC 22                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | TW        |           11 | NC      | $42037.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-4A                               | BMIR_19-4A                         | CUSIP: 07876LAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       183483 | PA      | $183036.84    | 0.02%             | 2029-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-4A                               | BMIR_19-4A                         | CUSIP: 07876LAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       950000 | PA      | $892231.45    | 0.12%             | 2029-10-25      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-1A                               | BMIR_19-1A                         | CUSIP: 07876RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        48271 | PA      | $48185.99     | 0.01%             | 2029-03-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_20-4                                | BMIR_20-4A                         | CUSIP: 07876UAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       237095 | PA      | $236806.59    | 0.03%             | 2030-06-25      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SYN KOSPI2 INDEX DEC 22            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | KR        |         -236 | NC      | $-1061761.97  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_20-3A                                | BMIR_20-3A                         | CUSIP: 07877KAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       650000 | PA      | $634999.43    | 0.08%             | 2030-10-25      | Variable      | 8.89%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_20-2A                                | BMIR_20-2A                         | CUSIP: 078782AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1700000 | PA      | $1715860.15   | 0.22%             | 2030-08-26      | Variable      | 10.04%                | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                 | BHR_18-PRME                        | CUSIP: 10482TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $923755.30    | 0.12%             | 2035-06-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1              | BRAVO_20-NQM1                      | CUSIP: 105699AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       300000 | PA      | $267677.40    | 0.03%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1              | BRAVO_20-NQM1                      | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       430000 | PA      | $396296.60    | 0.05%             | 2060-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2               | BRAVO_21-HE2                       | CUSIP: 10569CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       338000 | PA      | $330839.54    | 0.04%             | 2069-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2               | BRAVO_21-HE2                       | CUSIP: 10569CAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       353000 | PA      | $344844.71    | 0.05%             | 2069-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2              | BRAVO_21-NQM2                      | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $158143.48    | 0.02%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | EURO-BTP (ITALY GOVT) DEC 22       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          -21 | NC      | $-20676.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | KL COMPOSITE INDX DEC 22           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | MY        |           23 | NC      | $-221.19      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | MEXICAN BOLSA INDEX FUTURE DEC 22  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | MX        |           -1 | NC      | $163.01       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | JPN 10YR BOND (OSE) DEC 22         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |           24 | NC      | $90970.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | JPN 10YR BOND (OSE) DEC 22         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |          117 | NC      | $-61915.26    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | JPN 10YR BOND (OSE) DEC 22         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | JP        |           21 | NC      | $-24896.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | COFFEE MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -104 | NC      | $-286994.31   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | KOSPI2 INDEX DEC 22                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | KR        |         -154 | NC      | $-472431.92   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | WIG20(PLN20) INDEX DEC 22          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | PL        |         -912 | NC      | $-656026.78   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LME PRI ALUM MAR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -12 | NC      | $-30882.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LME PRI ALUM DEC 22                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -25 | NC      | $-155498.75   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LME PRI ALUM DEC 22                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          -20 | NC      | $-52151.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LIVE CATTLE FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -134 | NC      | $30994.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LEAN HOGS DEC 22                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          106 | NC      | $-62203.01    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LME LEAD DEC 22                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |           -1 | NC      | $-1833.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LME NICKEL MAR 23                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |           -6 | NC      | $-27269.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LME COPPER MAR 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |           -8 | NC      | $-33221.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LME COPPER DEC 22                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |           -8 | NC      | $-60196.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | LME ZINC MAR 23                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              | CORP              | GB        |          -14 | NC      | $-26230.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | LME ZINC DEC 22                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |          106 | NC      | $225560.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC - STACR_20-DNA6                                | STACR_20-DNA6                      | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $820145.20    | 0.11%             | 2050-12-25      | Variable      | 9.17%                 | No            |                  2 | On Loan: No      |
| FREEDOM FINANCIAL FREED_21-1CP                             | FREED_21-1CP                       | CUSIP: 35635BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $686451.29    | 0.09%             | 2028-03-20      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| GCAT_19-NQM3                                               | GCAT_19-NQM3                       | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       600000 | PA      | $482707.62    | 0.06%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GLEBE FUNDING TRUST GLEBE_21-1                             | GLEBE_21-1                         | CUSIP: 377353AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       713780 | PA      | $642402.30    | 0.08%             | 2023-10-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19        | GNMA_20-19                         | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1756527 | PA      | $95425.78     | 0.01%             | 2061-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102       | GNMA_19-102                        | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1349713 | PA      | $79476.21     | 0.01%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-109       | GNMA_19-109                        | CUSIP: 38380NMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2451761 | PA      | $141326.86    | 0.02%             | 2060-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131       | GNMA_19-131                        | CUSIP: 38380NPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2711194 | PA      | $153214.73    | 0.02%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92        | GNMA_19-92                         | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2823149 | PA      | $320691.64    | 0.04%             | 2049-07-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103       | GNMA_19-103                        | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2269850 | PA      | $254390.92    | 0.03%             | 2049-08-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-98        | GNMA_19-98                         | CUSIP: 38381YAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      8262801 | PA      | $857779.50    | 0.11%             | 2049-08-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120       | GNMA_19-120                        | CUSIP: 38381YSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2309294 | PA      | $61724.20     | 0.01%             | 2049-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120       | GNMA_19-120                        | CUSIP: 38381YSZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     20648824 | PA      | $472474.00    | 0.06%             | 2049-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3         | GNMA_20-3                          | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2000845 | PA      | $97079.42     | 0.01%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78        | GNMA_20-78                         | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2506312 | PA      | $272963.18    | 0.04%             | 2050-06-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104       | GNMA_20-104                        | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1480788 | PA      | $173096.69    | 0.02%             | 2050-07-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104       | GNMA_20-104                        | CUSIP: 38382HGX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2635792 | PA      | $389785.99    | 0.05%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138       | GNMA_20-138                        | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      4888910 | PA      | $648379.48    | 0.08%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133       | GNMA_20-133                        | CUSIP: 38382JC46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5840584 | PA      | $685662.91    | 0.09%             | 2050-09-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129       | GNMA_20-129                        | CUSIP: 38382JYN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3287745 | PA      | $426945.95    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129       | GNMA_20-129                        | CUSIP: 38382JYW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2623001 | PA      | $397350.53    | 0.05%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-153       | GNMA_20-153                        | CUSIP: 38382KSF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3199078 | PA      | $486243.55    | 0.06%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164       | GNMA_20-164                        | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2342044 | PA      | $353549.30    | 0.05%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | EURO-BOBL DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          -39 | NC      | $-15245.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | S&P/TSE 60 INDEX DEC 22            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | CA        |          121 | NC      | $1673679.91   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                   | CLNY_19-IKPR                       | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350000 | PA      | $1223881.92   | 0.16%             | 2038-11-15      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR4                                       | CIM_21-NR4                         | CUSIP: 12566DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       511192 | PA      | $468011.81    | 0.06%             | 2061-10-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                              | S&P/TSE 60 INDEX DEC 22            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | CA        |          -31 | NC      | $-459831.15   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | S&P/TSE 60 INDEX DEC 22            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | CA        |          -39 | NC      | $-196003.85   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | OMXS30 INDEX DEC 22                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | SE        |          -16 | NC      | $-790.11      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | OMXS30 INDEX DEC 22                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SE        |         -713 | NC      | $336.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | MSCI SING IX ETS DEC 22            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |         -193 | NC      | $-21007.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | RUSSELL 2000 EMINI CME DEC 22      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |          -32 | NC      | $-299843.88   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | EURO-BUND DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          432 | NC      | $144430.90    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | EURO-BUND DEC 22                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |          274 | NC      | $-838445.75   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | EURO-BUND DEC 22                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |         -244 | NC      | $339939.72    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SOYBEAN JAN 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |           52 | NC      | $21628.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | SOYBEAN JAN 23                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -27 | NC      | $-90777.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SUGAR #11 MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         -257 | NC      | $-485558.21   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | SILVER MAR 23                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |           -5 | NC      | $-10405.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SILVER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |          -42 | NC      | $-123510.78   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs                                              | SOYBEAN MEAL (CBT) JAN 23          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCO              | CORP              | US        |          -29 | NC      | $-39981.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | FTSE/MIB INDEX DEC 22              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | IT        |          185 | NC      | $2861463.99   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | FTSE/MIB INDEX DEC 22              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | IT        |           57 | NC      | $624686.70    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SYN BOVESPA (IBOVESPA) INDEX DEC 2 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | BR        |          824 | NC      | $293023.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                | CSMC_14-USA                        | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4600000 | PA      | $3035464.56   | 0.40%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_19-UVIL       | CSMC_19-UVIL                       | CUSIP: 12656DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       600000 | PA      | $437528.58    | 0.06%             | 2041-12-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CSMC_21-JR2                                                | CSMC_21-JR2                        | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       429922 | PA      | $403847.42    | 0.05%             | 2061-11-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                           | CGMS_16-4A                         | CUSIP: 143109AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      3100000 | PA      | $3001503.70   | 0.39%             | 2027-10-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_21-5A                | CGMS_21-5A                         | CUSIP: 14318AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      1000000 | PA      | $876418.00    | 0.11%             | 2034-07-20      | Variable      | 10.49%                | No            |                  2 | On Loan: No      |
| COLD STORAGE TRUST COLD_20-ICE5                            | COLD_20-ICE5                       | CUSIP: 193051AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       638944 | PA      | $606983.61    | 0.08%             | 2037-11-15      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                         | COLT_21-3                          | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       603180 | PA      | $452516.99    | 0.06%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                         | COLT_21-3                          | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $101160.10    | 0.01%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                         | COLT_21-4                          | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $257634.56    | 0.03%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                 | COLT_20-2                          | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $176350.20    | 0.02%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                              | COLUMBIA SHORT TERM CASH FUND      | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    315735117 | NS      | $315608822.65 | 41.21%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CBM                            | COMM_20-CBM                        | CUSIP: 20049AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $1893963.50   | 0.25%             | 2037-02-10      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03             | CAS_22-R03                         | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       200000 | PA      | $201900.50    | 0.03%             | 2042-03-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                                | CAS_22-R04                         | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       900000 | PA      | $874030.14    | 0.11%             | 2042-03-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                                | CAS_22-R04                         | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       950000 | PA      | $906044.17    | 0.12%             | 2042-03-25      | Variable      | 13.02%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R03             | CAS_21-R03                         | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1200000 | PA      | $1014696.12   | 0.13%             | 2041-12-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R02             | CAS_22-R02                         | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2600000 | PA      | $2270422.70   | 0.30%             | 2042-01-25      | Variable      | 11.17%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-R01        | CAS_19-R01                         | CUSIP: 20754FAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       950000 | PA      | $923996.51    | 0.12%             | 2031-07-25      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | IBEX 35 INDEX DEC 22               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | ES        |          -79 | NC      | $-180989.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | SGX CNX NIFTY ETS DEC 22           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | SG        |           28 | NC      | $29716.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                             | SGX CNX NIFTY ETS DEC 22           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | SG        |           96 | NC      | $108478.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |   -818579500 | OU      | $-1673287.13  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    -41768000 | OU      | $12143.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |   -633439714 | OU      | $-2568792.58  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NO        |    -61000000 | OU      | $-182751.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |   -136810000 | OU      | $-5118650.25  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |     -5797500 | OU      | $-48688.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |   -530000000 | OU      | $-446731.01   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PH        |   -211484000 | OU      | $-44810.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | PL        |   -154451000 | OU      | $-2518592.59  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |   -744134000 | OU      | $-2734130.17  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |   -360134000 | OU      | $-332234.64   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |    -19031000 | OU      | $-390609.38   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SG        |     -1457000 | OU      | $-12980.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |   -425869000 | OU      | $187969.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |    -40000000 | OU      | $-60520.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | TW        |    -57325875 | OU      | $-34540.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     58917750 | OU      | $1662962.57   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     79971250 | OU      | $-590108.97   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     25590999 | OU      | $263810.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |    142471749 | OU      | $573276.77    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     20382583 | OU      | $-42175.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | BRAZIL REAL                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | BR        |     20943666 | OU      | $129852.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     90996000 | OU      | $1273477.11   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                     | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5743060 | PA      | $5265166.60   | 0.69%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4892248 | PA      | $4343483.35   | 0.57%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5909188 | PA      | $5641452.92   | 0.74%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5920903 | PA      | $5652629.99   | 0.74%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 510 ASSETS BACKED TRUST FTAB_21-NPL2                       | FTAB_21-NPL2                       | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       804396 | PA      | $744838.47    | 0.10%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1                | STACR_21-DNA1                      | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1750000 | PA      | $1314587.05   | 0.17%             | 2051-01-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-HQA2                | STACR_21-HQA2                      | CUSIP: 35564KGS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $601554.80    | 0.08%             | 2033-12-25      | Variable      | 8.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA6                | STACR_22-DNA6                      | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       744842 | PA      | $742050.17    | 0.10%             | 2042-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA5                | STACR_21-DNA5                      | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3250000 | PA      | $2484240.85   | 0.32%             | 2034-01-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA6                | STACR_21-DNA6                      | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       900000 | PA      | $756304.02    | 0.10%             | 2041-10-25      | Variable      | 11.05%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA7                | STACR_21-DNA7                      | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2950000 | PA      | $2466282.31   | 0.32%             | 2041-11-25      | Variable      | 10.80%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA1                | STACR_22-DNA1                      | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1650000 | PA      | $1303723.25   | 0.17%             | 2042-01-25      | Variable      | 10.62%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2                | STACR_22-DNA2                      | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1560000 | PA      | $1305088.98   | 0.17%             | 2042-02-25      | Variable      | 12.02%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1                | STACR_22-HQA1                      | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $750605.92    | 0.10%             | 2042-03-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1                | STACR_22-HQA1                      | CUSIP: 35564KUL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1440000 | PA      | $1263428.50   | 0.16%             | 2042-03-25      | Variable      | 14.52%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-HQA2                | STACR_19-HQA2                      | CUSIP: 35564MBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1500000 | PA      | $1510866.00   | 0.20%             | 2049-04-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-HQA3                | STACR_19-HQA3                      | CUSIP: 35564XBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1250000 | PA      | $1179692.13   | 0.15%             | 2049-09-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA1                | STACR_20-HQA1                      | CUSIP: 35565JBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1942000 | PA      | $1772021.98   | 0.23%             | 2050-01-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3                | STACR_20-HQA3                      | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1000000 | PA      | $1022889.10   | 0.13%             | 2050-07-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA4                | STACR_20-HQA4                      | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2400000 | PA      | $2445695.28   | 0.32%             | 2050-09-25      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5                | STACR_20-HQA5                      | CUSIP: 35565TBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1800000 | PA      | $1694560.50   | 0.22%             | 2050-11-25      | Variable      | 10.92%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR 2020-DNA3                              | STACR_20-DNA3                      | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1614003 | PA      | $1661418.35   | 0.22%             | 2050-06-25      | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR_20-DNA4                                | STACR_20-DNA4                      | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1578370 | PA      | $1667576.16   | 0.22%             | 2050-08-25      | Variable      | 10.02%                | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CA        |     33950000 | OU      | $-601159.64   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | SWISS FRANC                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | CH        |     27750000 | OU      | $1116222.80   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | XX        |     12600000 | OU      | $595230.30    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PNT_21-1                                                   | PNT_21-1                           | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       988148 | PA      | $943761.38    | 0.12%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                       | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       440240 | PA      | $398027.30    | 0.05%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                    | PROG_20-SFR1                       | CUSIP: 74331CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       575000 | PA      | $517396.67    | 0.07%             | 2037-04-17      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                    | PROG_19-SFR3                       | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $935463.70    | 0.12%             | 2036-09-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                    | PROG_19-SFR3                       | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6700000 | PA      | $6274290.04   | 0.82%             | 2036-09-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR2                    | PROG_20-SFR2                       | CUSIP: 74333LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $483417.70    | 0.06%             | 2037-06-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PROPER PASS-THRU TRUST II PPT2_19-ST2                      | PPT2_19-ST2                        | CUSIP: 74361EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112616 | PA      | $112616.39    | 0.01%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| RR LTD RRAM_21-16A                                         | RRAM_21-16A                        | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      1000000 | PA      | $881864.00    | 0.12%             | 2036-07-15      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A       | RPM_21-2A                          | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       776592 | PA      | $682274.67    | 0.09%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3                  | RMLT_19-3                          | CUSIP: 76119NAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $626525.20    | 0.08%             | 2059-09-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                | STWH_21-NPB1                       | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1906855 | PA      | $1649653.41   | 0.22%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3              | STAR_21-3                          | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       339580 | PA      | $271656.33    | 0.04%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| STAR_20-3                                                  | STAR_20-3                          | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       250000 | PA      | $193155.58    | 0.03%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| STONN_20-1                                                 | STONN_20-1                         | CUSIP: 86207LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       242374 | PA      | $242373.51    | 0.03%             | 2024-07-28      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_20-1                            | THRM_20-1A                         | CUSIP: 88337YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2106022 | PA      | $2102219.51   | 0.27%             | 2026-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                            | THRM_21-1A                         | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $925667.50    | 0.12%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_20-1                             | TRK_20-1                           | CUSIP: 89052XAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1400000 | PA      | $1379000.00   | 0.18%             | 2023-03-25      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_21-1                             | TRK_21-1                           | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $762447.12    | 0.10%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1          | TMIR_21-1                          | CUSIP: 89600FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        94735 | PA      | $94539.45     | 0.01%             | 2033-08-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1          | TMIR_21-1                          | CUSIP: 89600FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1500000 | PA      | $1409936.40   | 0.18%             | 2033-08-25      | Variable      | 8.54%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2          | TMIR_21-2                          | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |       650000 | PA      | $588267.10    | 0.08%             | 2033-10-25      | Variable      | 11.54%                | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3          | TMIR_21-3                          | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2000000 | PA      | $1838567.80   | 0.24%             | 2034-02-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3          | TMIR_21-3                          | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $395053.65    | 0.05%             | 2034-02-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-22

**Name of Applicant:** Columbia Funds Series Trust I

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer